^VVIX vs. VXX
Compare and contrast key facts about CBOE VIX Volatility Index (^VVIX) and iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX).
VXX is a passively managed fund by Barclays Capital that tracks the performance of the S&P 500 VIX Short-Term Futures Index Total Return. It was launched on Jan 19, 2018.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^VVIX or VXX.
Performance
^VVIX vs. VXX - Performance Comparison
Returns By Period
In the year-to-date period, ^VVIX achieves a 7.88% return, which is significantly higher than VXX's -27.69% return.
^VVIX
7.88%
-7.07%
18.07%
14.64%
-0.33%
1.69%
VXX
-27.69%
-12.34%
-1.38%
-39.53%
-47.70%
N/A
Key characteristics
| ^VVIX | VXX | |
|---|---|---|
| Sharpe Ratio | 0.11 | -0.54 |
| Sortino Ratio | 0.97 | -0.63 |
| Omega Ratio | 1.11 | 0.93 |
| Calmar Ratio | 0.16 | -0.41 |
| Martin Ratio | 0.39 | -1.22 |
| Ulcer Index | 26.03% | 33.16% |
| Daily Std Dev | 94.95% | 74.63% |
| Max Drawdown | -78.10% | -99.08% |
| Current Drawdown | -54.81% | -98.98% |
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Correlation
The correlation between ^VVIX and VXX is 0.73, 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.
Risk-Adjusted Performance
^VVIX vs. VXX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for CBOE VIX Volatility Index (^VVIX) and iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX). 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. VXX - Drawdown Comparison
The maximum ^VVIX drawdown since its inception was -78.10%, smaller than the maximum VXX drawdown of -99.08%. Use the drawdown chart below to compare losses from any high point for ^VVIX and VXX. For additional features, visit the drawdowns tool.
Volatility
^VVIX vs. VXX - Volatility Comparison
CBOE VIX Volatility Index (^VVIX) has a higher volatility of 27.95% compared to iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) at 19.20%. This indicates that ^VVIX's price experiences larger fluctuations and is considered to be riskier than VXX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.