In the same vein as my past VIX ETF proxy posts, I've calculated the daily log-return of the VIX and found all those ETFs with over positive 50% correlation to it. These ETFs should be representative of the next best way to easily achieve a volatility proxy in your portfolio. I've also included the correlation of these top ETFs with each other over the past 50 sessions, as that should likewise allow for some further diversification.
The majority of these are obviously short to the indexes, but it's interesting as well to note that the fixed-income treasury and bond ETFs do a decent job. The fact that most ETF portfolios should already include a decent weight of these fixed-income ETFs means that achieving such a proxy should be less difficult than one might assume.
ETFs with VIX Correlation Above 50%
| Symbol |
R |
| SDS |
89.4% |
| SH |
88.6% |
| DXD |
87.6% |
| MZZ |
86.9% |
| DOG |
86.8% |
| MYY |
86.0% |
| QID |
84.3% |
| PSQ |
80.3% |
| SHY |
69.8% |
| IEF |
62.4% |
| AGG |
54.4% |
| TIP |
52.1% |
Correlation Matrix of ETFs with VIX Correlation Above 50%
| |
SDS |
SH |
DXD |
MZZ |
DOG |
MYY |
QID |
PSQ |
SHY |
IEF |
AGG |
| SH |
63.54% |
|
|
|
|
|
|
|
|
|
|
| DXD |
60.03% |
97.81% |
|
|
|
|
|
|
|
|
|
| MZZ |
86.73% |
74.42% |
70.44% |
|
|
|
|
|
|
|
|
| DOG |
63.51% |
91.56% |
90.07% |
69.75% |
|
|
|
|
|
|
|
| MYY |
59.22% |
91.12% |
90.32% |
69.40% |
96.93% |
|
|
|
|
|
|
| QID |
54.99% |
87.73% |
89.04% |
64.68% |
89.29% |
90.10% |
|
|
|
|
|
| PSQ |
54.97% |
89.41% |
90.35% |
67.57% |
88.72% |
90.68% |
94.23% |
|
|
|
|
| SHY |
58.96% |
96.75% |
96.56% |
71.82% |
93.57% |
94.88% |
88.86% |
90.78% |
|
|
|
| IEF |
59.85% |
96.46% |
95.81% |
72.57% |
93.47% |
94.77% |
88.68% |
91.30% |
98.88% |
|
|
| AGG |
80.56% |
80.37% |
76.50% |
89.04% |
74.53% |
72.85% |
71.20% |
74.65% |
75.92% |
76.43% |
|
| TIP |
83.23% |
63.85% |
59.39% |
90.67% |
56.12% |
54.30% |
51.78% |
52.81% |
57.04% |
56.46% |
79.95% |
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