CBOE VIX Volatility Index (^VVIX)
Share Price Chart
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Performance
The chart shows the growth of an initial investment of $10,000 in CBOE VIX 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.
Compare to other instruments
Popular comparisons: ^VVIX vs. ETH-USD, ^VVIX vs. SPY, ^VVIX vs. VOO
Return
CBOE VIX Volatility Index had a return of 26.63% year-to-date (YTD) and 4.17% in the last 12 months. Over the past 10 years, CBOE VIX Volatility Index had an annualized return of 1.98%, while the S&P 500 had an annualized return of 9.77%, indicating that CBOE VIX Volatility Index did not perform as well as the benchmark.
Period | Return | Benchmark |
---|---|---|
1 month | 12.28% | 0.86% |
Year-To-Date | 26.63% | 9.53% |
6 months | 18.27% | 4.45% |
1 year | 4.17% | 1.14% |
5 years (annualized) | -2.13% | 9.33% |
10 years (annualized) | 1.98% | 9.77% |
Monthly Returns Heatmap
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
2023 | 8.89% | -3.74% | 8.38% | -0.72% | ||||||||
2022 | -25.74% | 3.72% | -5.80% |
Risk-Adjusted Performance
This table presents a comparison of risk-adjusted performance metrics for CBOE VIX Volatility Index (^VVIX) and S&P 500 (^GSPC). 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.
Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
---|---|---|---|---|---|
^VVIX CBOE VIX Volatility Index | 0.09 | ||||
^GSPC S&P 500 | 0.27 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below shows the maximum drawdowns of the CBOE VIX Volatility Index. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.
The maximum drawdown since January 2010 for the CBOE VIX Volatility Index is 78.10%, recorded on Mar 15, 2006. It took 9 trading sessions for the portfolio to recover.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
---|---|---|---|---|---|---|
-78.1% | Mar 15, 2006 | 1 | Mar 15, 2006 | 9 | May 22, 2006 | 10 |
-66.2% | Jun 19, 2006 | 89 | Nov 13, 2006 | 70 | Feb 27, 2007 | 159 |
-64.41% | Mar 17, 2020 | 713 | Jan 6, 2023 | — | — | — |
-58.49% | Feb 9, 2018 | 260 | Feb 22, 2019 | 267 | Mar 16, 2020 | 527 |
-58.22% | Aug 17, 2007 | 172 | Apr 23, 2008 | 523 | May 20, 2010 | 695 |
Volatility Chart
The current CBOE VIX Volatility Index volatility is 20.45%, 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.