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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.
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Returns By Period
CBOE VIX Volatility Index (^VVIX) has returned 25.23% so far this year and 17.08% over the past 12 months. Over the last ten years, ^VVIX has returned 3.59% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.
CBOE VIX Volatility Index
- 1D
- -9.22%
- 1M
- 4.65%
- YTD
- 25.23%
- 6M
- 21.02%
- 1Y
- 17.08%
- 3Y*
- 9.86%
- 5Y*
- 3.24%
- 10Y*
- 3.59%
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Mar 6, 2006, ^VVIX's average daily return is +0.18%, while the average monthly return is +1.30%. At this rate, your investment would double in approximately 4.5 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% | 25.23% | |||||||||
| 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 100.77%, 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 -303.49%), but participation in market rallies was also limited (-67.72%) — 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
- 100.77%
- Beta
- -2.37
- R²
- 0.25
- Upside Capture
- -67.72%
- Downside Capture
- -303.49%
Return for Risk
Risk / Return Rank
^VVIX ranks 21 for risk / return — below 21% of indices on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for CBOE VIX Volatility Index (^VVIX) and compare them to a chosen benchmark (S&P 500 Index).
| ^VVIX | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.18 | 0.90 | -0.72 |
Sortino ratioReturn per unit of downside risk | 0.96 | 1.39 | -0.43 |
Omega ratioGain probability vs. loss probability | 1.12 | 1.21 | -0.09 |
Calmar ratioReturn relative to maximum drawdown | -0.41 | 1.40 | -1.81 |
Martin ratioReturn relative to average drawdown | -0.52 | 6.61 | -7.13 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore ^VVIX risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
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 44.10%.
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 |
| -64.71% | Mar 17, 2020 | 1046 | May 10, 2024 | — | — | — |
| -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
Volatility Chart
The chart below shows the rolling one-month volatility.
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