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Performance
^VVIX Performance Chart
CBOE VIX Volatility Index (^VVIX) is down 3.1% since the beginning of the year. ^VVIX is currently trading at $90 per share. Investors who bought $1,000 worth of ^VVIX shares 5 years ago would now be looking at an investment worth $830.
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Returns By Period
CBOE VIX Volatility Index (^VVIX) has returned -3.10% so far this year and -1.20% over the past 12 months. Over the last ten years, ^VVIX has returned 1.28% per year, falling short of the S&P 500 Index benchmark, which averaged 13.66% annually.
CBOE VIX Volatility Index
- 1D
- -0.81%
- 1M
- -8.64%
- YTD
- -3.10%
- 6M
- -2.80%
- 1Y
- -1.20%
- 3Y*
- 1.39%
- 5Y*
- -3.65%
- 10Y*
- 1.28%
Benchmark (S&P 500 Index)
- 1D
- -0.74%
- 1M
- 4.90%
- YTD
- 10.35%
- 6M
- 10.28%
- 1Y
- 26.52%
- 3Y*
- 20.83%
- 5Y*
- 12.30%
- 10Y*
- 13.66%
^VVIX Monthly Returns History
Based on dividend-adjusted daily data since Mar 6, 2006, ^VVIX's average daily return is +0.17%, while the average monthly return is +1.19%. At this rate, an investment would double in approximately 4.9 years.
Historically, 48% of months were positive and 52% were negative. The best month was Apr 2006 with a return of +64.2%, while the worst month was Mar 2006 at -47.9%. The longest winning streak lasted 5 consecutive months, and the longest losing streak was 6 months.
On a daily basis, ^VVIX closed higher 45% of trading days. The best single day was Apr 11, 2006 with a return of +86.2%, while the worst single day was Mar 15, 2006 at -78.1%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 16.74% | 2.51% | 4.65% | -19.26% | -8.15% | 4.35% | -3.10% | ||||||
| 2025 | -2.71% | 7.38% | -9.06% | 3.20% | -6.98% | -5.69% | 9.62% | -1.22% | -1.32% | 8.94% | -13.52% | 2.58% | -11.18% |
| 2024 | 0.69% | -11.55% | -1.14% | 6.86% | -4.34% | 1.55% | 18.58% | -0.55% | 5.99% | 22.70% | -29.18% | 20.86% | 19.97% |
| 2023 | 8.89% | -3.74% | 8.38% | -0.72% | 5.17% | -9.06% | 4.30% | -6.78% | 16.46% | -6.55% | -1.40% | 0.29% | 12.86% |
| 2022 | 14.03% | -1.14% | -9.86% | 9.45% | -23.68% | -3.98% | -10.18% | 10.10% | 20.12% | -25.74% | 3.72% | -5.80% | -29.74% |
| 2021 | 22.77% | -9.01% | -19.94% | 9.18% | -3.49% | 1.25% | 8.85% | -8.93% | 11.53% | -10.88% | 35.54% | -23.07% | -1.96% |
Benchmark Metrics
CBOE VIX Volatility Index has an annualized alpha of 100.65%, beta of -2.37, and R2 of 0.25 versus S&P 500 Index. Calculated based on daily prices since March 15, 2006.
- This index tended to rise when S&P 500 Index fell (downside capture of -304.39%), but participation in market rallies was also limited (-68.93%) - a profile typical of counter-cyclical assets.
- Beta of -2.37 may look defensive, but with R2 of 0.25 this index is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this index's risk.
- R2 of 0.25 means this index moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 100.65%
- Beta
- -2.37
- R²
- 0.25
- Upside Capture
- -68.93%
- Downside Capture
- -304.39%
Return for Risk
Risk / Return Rank
^VVIX ranks 15 for risk / return — in the bottom 15% of indices on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for CBOE VIX Volatility Index (^VVIX) and compare them to S&P 500 Index.
| ^VVIX | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.01 | 2.24 | -2.26 |
Sortino ratioReturn per unit of downside risk | 0.59 | 3.07 | -2.49 |
Omega ratioGain probability vs. loss probability | 1.07 | 1.41 | -0.34 |
Calmar ratioReturn relative to maximum drawdown | -0.03 | 2.93 | -2.96 |
Martin ratioReturn relative to average drawdown | -0.05 | 13.52 | -13.57 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the CBOE VIX 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 VIX Volatility Index was 78.10%, occurring on Mar 15, 2006. Recovery took 9 trading sessions.
The current CBOE VIX Volatility Index drawdown is 56.74%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2006 bear market2006 | -78.10%Mar 2006 | 0s | 2mo 8d | 2mo 8dMar 2006 - May 2006 |
2006 bear market2006 | -66.20%Nov 2006 | 4mo 27d | 3mo 16d | 8mo 13dJun 2006 - Feb 2007 |
2024 bear market2024 | -64.71%May 2024 | 4y 1mo | — | 6y 2moMar 2020 - now |
2019 bear market2019 | -58.49%Feb 2019 | 1y 13d | 1y 23d | 2y 1moFeb 2018 - Mar 2020 |
Financial crisis2007–2009 | -58.22%Apr 2008 | 8mo 10d | 2y 27d | 2y 9moAug 2007 - May 2010 |
Drawdown Indicators
| ^VVIX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -78.10% | -56.78% | -21.32% |
Max Drawdown (1Y)Largest decline over 1 year | -38.94% | -9.10% | -29.84% |
Max Drawdown (3Y)Largest decline over 3 years | -52.75% | -18.90% | -33.85% |
Max Drawdown (5Y)Largest decline over 5 years | -53.07% | -25.43% | -27.64% |
Max Drawdown (10Y)Largest decline over 10 years | -64.71% | -33.92% | -30.79% |
Current DrawdownCurrent decline from peak | -56.74% | -0.74% | -56.00% |
Average DrawdownAverage peak-to-trough decline | -43.41% | -10.72% | -32.69% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 23.07% | 1.97% | +21.10% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Build a portfolio with ^VVIX
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