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^VIX vs. VIXM
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


^VIXVIXM
YTD Return31.16%-12.96%
1Y Return7.86%-21.53%
3Y Return (Ann)-13.59%-23.74%
5Y Return (Ann)1.24%-9.03%
10Y Return (Ann)1.72%-13.27%
Sharpe Ratio-0.15-0.52
Daily Std Dev119.98%39.32%
Max Drawdown-88.70%-96.20%
Current Drawdown-80.25%-96.00%

Correlation

-0.50.00.51.00.8

The correlation between ^VIX and VIXM is 0.77, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

^VIX vs. VIXM - Performance Comparison

In the year-to-date period, ^VIX achieves a 31.16% return, which is significantly higher than VIXM's -12.96% return. Over the past 10 years, ^VIX has outperformed VIXM with an annualized return of 1.72%, while VIXM has yielded a comparatively lower -13.27% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%50.00%100.00%150.00%200.00%AprilMayJuneJulyAugustSeptember
26.39%
-8.22%
^VIX
VIXM

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Risk-Adjusted Performance

^VIX vs. VIXM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for CBOE Volatility Index (^VIX) and ProShares VIX Mid-Term Futures ETF (VIXM). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


^VIX
Sharpe ratio
The chart of Sharpe ratio for ^VIX, currently valued at -0.15, compared to the broader market0.001.002.00-0.15
Sortino ratio
The chart of Sortino ratio for ^VIX, currently valued at 0.69, compared to the broader market-1.000.001.002.003.000.69
Omega ratio
The chart of Omega ratio for ^VIX, currently valued at 1.08, compared to the broader market1.001.201.401.08
Calmar ratio
The chart of Calmar ratio for ^VIX, currently valued at -0.20, compared to the broader market0.001.002.003.004.005.00-0.20
Martin ratio
The chart of Martin ratio for ^VIX, currently valued at -0.46, compared to the broader market0.005.0010.0015.0020.00-0.46
VIXM
Sharpe ratio
The chart of Sharpe ratio for VIXM, currently valued at -0.75, compared to the broader market0.001.002.00-0.75
Sortino ratio
The chart of Sortino ratio for VIXM, currently valued at -1.11, compared to the broader market-1.000.001.002.003.00-1.11
Omega ratio
The chart of Omega ratio for VIXM, currently valued at 0.86, compared to the broader market1.001.201.400.86
Calmar ratio
The chart of Calmar ratio for VIXM, currently valued at -0.30, compared to the broader market0.001.002.003.004.005.00-0.30
Martin ratio
The chart of Martin ratio for VIXM, currently valued at -1.03, compared to the broader market0.005.0010.0015.0020.00-1.03

^VIX vs. VIXM - Sharpe Ratio Comparison

The current ^VIX Sharpe Ratio is -0.15, which is higher than the VIXM Sharpe Ratio of -0.52. The chart below compares the 12-month rolling Sharpe Ratio of ^VIX and VIXM.


Rolling 12-month Sharpe Ratio-2.00-1.50-1.00-0.500.000.501.001.50AprilMayJuneJulyAugustSeptember
-0.15
-0.75
^VIX
VIXM

Drawdowns

^VIX vs. VIXM - Drawdown Comparison

The maximum ^VIX drawdown since its inception was -88.70%, smaller than the maximum VIXM drawdown of -96.20%. Use the drawdown chart below to compare losses from any high point for ^VIX and VIXM. For additional features, visit the drawdowns tool.


-100.00%-90.00%-80.00%-70.00%-60.00%-50.00%AprilMayJuneJulyAugustSeptember
-80.25%
-96.00%
^VIX
VIXM

Volatility

^VIX vs. VIXM - Volatility Comparison

CBOE Volatility Index (^VIX) has a higher volatility of 44.08% compared to ProShares VIX Mid-Term Futures ETF (VIXM) at 10.93%. This indicates that ^VIX's price experiences larger fluctuations and is considered to be riskier than VIXM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%20.00%40.00%60.00%80.00%AprilMayJuneJulyAugustSeptember
44.08%
10.93%
^VIX
VIXM