^VVIX vs. VIXY
Compare and contrast key facts about CBOE VIX Volatility Index (^VVIX) and ProShares VIX Short-Term Futures ETF (VIXY).
VIXY is a passively managed fund by ProFund Advisors LLC that tracks the performance of the S&P 500 VIX Short-Term Futures Index Total Return. It was launched on Jan 3, 2011.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^VVIX or VIXY.
Key characteristics
| ^VVIX | VIXY | |
|---|---|---|
| YTD Return | 37.22% | -10.70% |
| 1Y Return | 36.14% | -36.29% |
| 3Y Return (Ann) | 2.41% | -49.11% |
| 5Y Return (Ann) | 4.76% | -49.19% |
| 10Y Return (Ann) | 4.16% | -46.80% |
| Sharpe Ratio | 0.43 | -0.46 |
| Daily Std Dev | 94.34% | 78.99% |
| Max Drawdown | -78.10% | -100.00% |
| Current Drawdown | -42.52% | -99.99% |
Correlation
The correlation between ^VVIX and VIXY 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
^VVIX vs. VIXY - Performance Comparison
In the year-to-date period, ^VVIX achieves a 37.22% return, which is significantly higher than VIXY's -10.70% return. Over the past 10 years, ^VVIX has outperformed VIXY with an annualized return of 4.16%, while VIXY has yielded a comparatively lower -46.80% 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
^VVIX vs. VIXY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for CBOE VIX Volatility Index (^VVIX) and ProShares VIX Short-Term Futures ETF (VIXY). 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
^VVIX vs. VIXY - Drawdown Comparison
The maximum ^VVIX drawdown since its inception was -78.10%, smaller than the maximum VIXY drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for ^VVIX and VIXY. For additional features, visit the drawdowns tool.
Volatility
^VVIX vs. VIXY - Volatility Comparison
CBOE VIX Volatility Index (^VVIX) has a higher volatility of 48.01% compared to ProShares VIX Short-Term Futures ETF (VIXY) at 31.35%. This indicates that ^VVIX's price experiences larger fluctuations and is considered to be riskier than VIXY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.