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

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CBOE VIX Volatility Index

Popular comparisons: ^VVIX vs. QQQ, ^VVIX vs. SPY, ^VVIX vs. ETH-USD, ^VVIX vs. VIXY, ^VVIX vs. VOO, ^VVIX vs. VXX, ^VVIX vs. ^GSPC, ^VVIX vs. AMD, ^VVIX vs. AAPL, ^VVIX vs. SVOL

Performance

Performance Chart

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.


0.00%50.00%100.00%150.00%200.00%250.00%300.00%350.00%December2024FebruaryMarchAprilMay
8.21%
310.13%
^VVIX (CBOE VIX Volatility Index)
Benchmark (^GSPC)

S&P 500

Returns By Period

CBOE VIX Volatility Index had a return of -10.74% year-to-date (YTD) and -20.50% in the last 12 months. Over the past 10 years, CBOE VIX Volatility Index had an annualized return of 1.50%, while the S&P 500 had an annualized return of 10.87%, indicating that CBOE VIX Volatility Index did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date-10.74%11.56%
1 month-21.67%7.13%
6 months-5.08%17.26%
1 year-20.50%26.92%
5 years (annualized)-3.95%13.56%
10 years (annualized)1.50%10.87%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.69%-11.55%-1.14%6.86%-10.74%
20238.89%-3.74%8.38%-0.72%5.17%-9.06%4.30%-6.78%16.46%-6.55%-1.40%0.29%12.86%
202214.03%-1.14%-9.86%9.45%-23.68%-3.98%-10.18%10.10%20.12%-25.74%3.72%-5.80%-29.74%
202122.77%-9.01%-19.94%9.18%-3.49%1.25%8.85%-8.93%11.53%-10.88%35.54%-23.07%-1.96%
202012.22%19.06%21.63%-22.49%-10.91%14.36%-7.22%6.22%-14.65%42.98%-26.93%5.41%18.87%
2019-9.03%0.96%7.27%3.19%9.21%-11.31%12.24%6.63%-4.91%-8.91%2.40%3.35%8.02%
20187.59%12.26%-15.10%-8.73%6.71%5.31%-11.17%-1.49%-5.84%17.86%-9.05%-6.92%-13.55%
2017-1.93%-1.95%-11.09%-1.56%9.64%6.99%-4.06%9.34%-1.81%-1.21%-2.25%12.03%10.00%
2016-10.23%-5.44%-2.49%10.54%-13.36%18.63%-3.60%-6.57%7.72%12.47%-13.45%2.93%-8.58%
2015-3.62%-21.80%-1.43%3.65%-9.20%39.33%-25.78%55.66%-18.86%-12.60%0.63%10.30%-11.39%
201440.70%-18.27%-11.36%-10.68%5.37%5.31%36.14%-16.74%14.01%1.76%-15.15%41.63%59.65%
2013-17.06%12.84%-3.89%0.31%1.69%1.97%-15.55%26.71%-11.80%-14.97%-6.67%9.29%-23.43%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^VVIX is 5, indicating that it is in the bottom 5% 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 ^VVIX is 55
^VVIX (CBOE VIX Volatility Index)
The Sharpe Ratio Rank of ^VVIX is 55Sharpe Ratio Rank
The Sortino Ratio Rank of ^VVIX is 66Sortino Ratio Rank
The Omega Ratio Rank of ^VVIX is 66Omega Ratio Rank
The Calmar Ratio Rank of ^VVIX is 33Calmar Ratio Rank
The Martin Ratio Rank of ^VVIX is 33Martin 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 VIX Volatility Index (^VVIX) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


^VVIX
Sharpe ratio
The chart of Sharpe ratio for ^VVIX, currently valued at -0.26, compared to the broader market-1.000.001.002.003.00-0.26
Sortino ratio
The chart of Sortino ratio for ^VVIX, currently valued at 0.09, compared to the broader market-2.00-1.000.001.002.003.004.000.09
Omega ratio
The chart of Omega ratio for ^VVIX, currently valued at 1.01, compared to the broader market0.801.001.201.401.601.01
Calmar ratio
The chart of Calmar ratio for ^VVIX, currently valued at -0.28, compared to the broader market0.001.002.003.004.005.00-0.28
Martin ratio
The chart of Martin ratio for ^VVIX, currently valued at -0.77, compared to the broader market0.005.0010.0015.0020.00-0.77
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.34, compared to the broader market-1.000.001.002.003.002.34
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.31, compared to the broader market-2.00-1.000.001.002.003.004.003.31
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.41, compared to the broader market0.801.001.201.401.601.41
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.90, compared to the broader market0.001.002.003.004.005.001.90
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.93, compared to the broader market0.005.0010.0015.0020.008.93

Sharpe Ratio

The current CBOE VIX Volatility Index Sharpe ratio is -0.26. 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 VIX 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-0.500.000.501.001.502.002.503.00December2024FebruaryMarchAprilMay
-0.26
2.34
^VVIX (CBOE VIX Volatility Index)
Benchmark (^GSPC)

Drawdowns

Drawdowns Chart

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


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%December2024FebruaryMarchAprilMay
-62.61%
0
^VVIX (CBOE VIX Volatility Index)
Benchmark (^GSPC)

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 62.61%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-78.1%Mar 15, 20061Mar 15, 20069May 22, 200610
-66.2%Jun 19, 200689Nov 13, 200670Feb 27, 2007159
-64.71%Mar 17, 20201051May 10, 2024
-58.49%Feb 9, 2018260Feb 22, 2019267Mar 16, 2020527
-58.22%Aug 17, 2007172Apr 23, 2008523May 20, 2010695

Volatility

Volatility Chart

The current CBOE VIX Volatility Index volatility is 14.43%, 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.


0.00%5.00%10.00%15.00%20.00%25.00%30.00%December2024FebruaryMarchAprilMay
14.43%
3.10%
^VVIX (CBOE VIX Volatility Index)
Benchmark (^GSPC)