^VIX vs. VIXM
Compare and contrast key facts about CBOE Volatility Index (^VIX) and ProShares VIX Mid-Term Futures ETF (VIXM).
VIXM is a passively managed fund by ProShares that tracks the performance of the S&P 500 VIX Mid-Term Futures Index. It was launched on Jan 4, 2011.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^VIX or VIXM.
Key characteristics
| ^VIX | VIXM | |
|---|---|---|
| YTD Return | 79.76% | -4.60% |
| 1Y Return | 55.42% | -15.72% |
| 3Y Return (Ann) | 6.99% | -19.67% |
| 5Y Return (Ann) | 8.03% | -6.95% |
| 10Y Return (Ann) | 5.01% | -12.36% |
| Sharpe Ratio | 0.40 | -0.43 |
| Daily Std Dev | 118.88% | 39.22% |
| Max Drawdown | -88.70% | -96.20% |
| Current Drawdown | -72.94% | -95.61% |
Correlation
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 79.76% return, which is significantly higher than VIXM's -4.60% return. Over the past 10 years, ^VIX has outperformed VIXM with an annualized return of 5.01%, while VIXM has yielded a comparatively lower -12.36% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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.
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.
Volatility
^VIX vs. VIXM - Volatility Comparison
CBOE Volatility Index (^VIX) has a higher volatility of 46.77% compared to ProShares VIX Mid-Term Futures ETF (VIXM) at 12.87%. 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.