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CBOE Volatility Index (^VIX)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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CBOE Volatility Index

Popular comparisons: ^VIX vs. SPY, ^VIX vs. SVOL, ^VIX vs. XPEV, ^VIX vs. UVIX, ^VIX vs. VIXM, ^VIX vs. AAPL, ^VIX vs. MGK, ^VIX vs. ANGL, ^VIX vs. TSLA, ^VIX vs. XYLD

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in CBOE Volatility Index, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


0.00%500.00%1,000.00%1,500.00%2024FebruaryMarchAprilMayJune
-23.43%
1,419.26%
^VIX (CBOE Volatility Index)
Benchmark (^GSPC)

S&P 500

Returns By Period

CBOE Volatility Index had a return of 6.02% year-to-date (YTD) and 2.25% in the last 12 months. Over the past 10 years, CBOE Volatility Index had an annualized return of 0.82%, while the S&P 500 had an annualized return of 10.88%, indicating that CBOE Volatility Index did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date6.02%14.57%
1 month7.40%2.97%
6 months1.30%14.93%
1 year2.25%24.71%
5 years (annualized)-2.93%13.14%
10 years (annualized)0.82%10.88%

Monthly Returns

The table below presents the monthly returns of ^VIX, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
202415.26%-6.62%-2.91%20.29%-17.44%6.02%
2023-10.48%6.70%-9.66%-15.61%13.69%-24.25%0.29%-0.44%29.11%3.54%-28.78%-3.64%-42.55%
202244.19%21.43%-31.81%62.45%-21.59%9.62%-25.71%21.28%22.23%-18.15%-20.48%5.30%25.84%
202145.45%-15.53%-30.59%-4.07%-9.94%-5.55%15.22%-9.65%40.41%-29.73%67.22%-36.67%-24.31%
202036.72%112.90%33.48%-36.22%-19.44%10.61%-19.62%7.97%-0.15%44.18%-45.90%10.60%65.09%
2019-34.82%-10.80%-7.24%-4.30%42.61%-19.40%6.90%17.74%-14.44%-18.60%-4.54%9.19%-45.79%
201822.64%46.60%0.60%-20.23%-3.14%4.28%-20.26%0.23%-5.75%75.17%-14.88%40.68%130.25%
2017-14.60%7.76%-4.26%-12.53%-3.79%7.40%-8.23%3.22%-10.20%7.05%10.81%-2.13%-21.37%
201610.93%1.73%-32.12%12.54%-9.62%10.15%-24.06%13.06%-0.97%28.37%-21.86%5.33%-22.90%
20159.22%-36.39%14.62%-4.84%-4.88%31.72%-33.52%134.57%-13.82%-38.49%7.03%12.90%-5.16%
201434.18%-23.95%-0.86%-3.39%-14.99%1.49%46.50%-29.32%36.14%-13.98%-4.99%44.04%39.94%
2013-20.75%8.61%-18.12%6.46%20.56%3.44%-20.23%26.47%-2.41%-17.17%-0.36%0.15%-23.86%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^VIX is 14, indicating that it is in the bottom 14% of indices on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of ^VIX is 1414
^VIX (CBOE Volatility Index)
The Sharpe Ratio Rank of ^VIX is 1010Sharpe Ratio Rank
The Sortino Ratio Rank of ^VIX is 2121Sortino Ratio Rank
The Omega Ratio Rank of ^VIX is 2020Omega Ratio Rank
The Calmar Ratio Rank of ^VIX is 99Calmar Ratio Rank
The Martin Ratio Rank of ^VIX is 1010Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for CBOE Volatility Index (^VIX) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


^VIX
Sharpe ratio
The chart of Sharpe ratio for ^VIX, currently valued at -0.09, compared to the broader market-1.000.001.002.00-0.09
Sortino ratio
The chart of Sortino ratio for ^VIX, currently valued at 0.48, compared to the broader market-2.00-1.000.001.002.003.000.48
Omega ratio
The chart of Omega ratio for ^VIX, currently valued at 1.05, compared to the broader market0.801.001.201.401.05
Calmar ratio
The chart of Calmar ratio for ^VIX, currently valued at -0.08, compared to the broader market0.001.002.003.004.005.00-0.08
Martin ratio
The chart of Martin ratio for ^VIX, currently valued at -0.22, compared to the broader market0.005.0010.0015.0020.00-0.22
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.24, compared to the broader market-1.000.001.002.002.24
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.16, compared to the broader market-2.00-1.000.001.002.003.003.16
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.39, compared to the broader market0.801.001.201.401.39
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.78, compared to the broader market0.001.002.003.004.005.001.78
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.36, compared to the broader market0.005.0010.0015.0020.008.36

Sharpe Ratio

The current CBOE Volatility Index Sharpe ratio is -0.09. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of CBOE Volatility Index with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.002024FebruaryMarchAprilMayJune
-0.09
2.24
^VIX (CBOE Volatility Index)
Benchmark (^GSPC)

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-80.00%-60.00%-40.00%-20.00%0.00%2024FebruaryMarchAprilMayJune
-84.04%
-0.41%
^VIX (CBOE Volatility Index)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the CBOE Volatility Index. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the CBOE Volatility Index was 88.70%, occurring on Nov 3, 2017. Recovery took 616 trading sessions.

The current CBOE Volatility Index drawdown is 84.04%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-88.7%Nov 21, 20082336Nov 3, 2017616Mar 16, 20202952
-85.66%Mar 17, 20201091May 21, 2024
-78.38%Oct 9, 19982164Jan 24, 2007438Sep 29, 20082602
-74.47%Aug 24, 1990869Dec 22, 19931006Oct 30, 19971875
-57.51%Oct 31, 1997186Jul 17, 199829Aug 27, 1998215

Volatility

Volatility Chart

The current CBOE Volatility Index volatility is 22.59%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


5.00%10.00%15.00%20.00%25.00%30.00%2024FebruaryMarchAprilMayJune
22.59%
2.38%
^VIX (CBOE Volatility Index)
Benchmark (^GSPC)