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CBOE NASDAQ 100 Voltility Index (^VXN)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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CBOE NASDAQ 100 Voltility Index

Popular comparisons: ^VXN vs. QQQ, ^VXN vs. ^VVIX

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in CBOE NASDAQ 100 Voltility Index, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


-100.00%0.00%100.00%200.00%300.00%FebruaryMarchAprilMayJuneJuly
-60.81%
307.94%
^VXN (CBOE NASDAQ 100 Voltility Index)
Benchmark (^GSPC)

S&P 500

Returns By Period

CBOE NASDAQ 100 Voltility Index had a return of 32.78% year-to-date (YTD) and 6.49% in the last 12 months. Over the past 10 years, CBOE NASDAQ 100 Voltility Index had an annualized return of 4.95%, while the S&P 500 had an annualized return of 10.77%, indicating that CBOE NASDAQ 100 Voltility Index did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date32.78%15.41%
1 month28.80%0.33%
6 months23.62%13.74%
1 year6.49%21.39%
5 years (annualized)3.97%13.11%
10 years (annualized)4.95%10.77%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
202412.65%-5.70%-3.20%10.62%-9.39%-2.75%32.78%
2023-6.56%2.37%-10.61%-14.75%9.94%-11.62%-1.18%-3.00%13.55%5.55%-25.56%-3.11%-41.30%
202242.26%8.49%-17.51%41.72%-13.70%9.69%-24.74%18.13%13.73%-14.89%-15.08%4.31%30.19%
202139.03%-9.03%-26.92%-8.00%-6.38%-6.06%3.33%-6.39%36.81%-26.30%39.46%-22.60%-21.28%
202026.29%102.20%18.92%-31.21%-20.75%9.98%-9.17%23.70%2.52%16.60%-35.40%0.94%59.44%
2019-35.62%-15.17%-3.20%-0.12%39.94%-14.94%-4.96%19.22%-10.54%-13.33%-8.76%6.63%-46.28%
201825.32%12.01%21.22%-21.06%-20.32%24.43%-8.19%-16.33%3.37%75.63%-17.51%30.89%100.51%
2017-14.33%-4.83%-13.60%-1.87%12.23%36.09%-9.88%-9.70%-3.35%8.74%5.78%-1.57%-6.00%
201620.43%-0.38%-28.45%14.54%-20.98%15.28%-20.53%9.81%0.72%25.05%-21.69%10.24%-15.03%
20159.93%-32.28%18.26%-4.51%-10.66%31.12%-24.56%105.07%-10.36%-35.50%4.62%8.45%-0.05%
201422.86%-20.88%20.72%-2.43%-22.12%-11.33%37.76%-24.44%43.67%-13.42%-6.77%33.24%27.20%
2013-27.87%9.91%-18.53%15.51%4.24%3.00%-13.48%23.02%-4.56%-11.06%-6.38%10.84%-24.90%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^VXN is 24, indicating that it is in the bottom 24% 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 ^VXN is 2424
^VXN (CBOE NASDAQ 100 Voltility Index)
The Sharpe Ratio Rank of ^VXN is 1414Sharpe Ratio Rank
The Sortino Ratio Rank of ^VXN is 3434Sortino Ratio Rank
The Omega Ratio Rank of ^VXN is 3838Omega Ratio Rank
The Calmar Ratio Rank of ^VXN is 1818Calmar Ratio Rank
The Martin Ratio Rank of ^VXN is 1515Martin 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 NASDAQ 100 Voltility Index (^VXN) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


^VXN
Sharpe ratio
The chart of Sharpe ratio for ^VXN, currently valued at 0.10, compared to the broader market0.001.002.000.10
Sortino ratio
The chart of Sortino ratio for ^VXN, currently valued at 0.90, compared to the broader market-1.000.001.002.003.000.90
Omega ratio
The chart of Omega ratio for ^VXN, currently valued at 1.12, compared to the broader market1.001.201.401.12
Calmar ratio
The chart of Calmar ratio for ^VXN, currently valued at 0.11, compared to the broader market0.001.002.003.004.005.000.11
Martin ratio
The chart of Martin ratio for ^VXN, currently valued at 0.35, compared to the broader market0.005.0010.0015.0020.000.35
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.82, compared to the broader market0.001.002.001.82
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.59, compared to the broader market-1.000.001.002.003.002.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.32, compared to the broader market1.001.201.401.32
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.45, compared to the broader market0.001.002.003.004.005.001.45
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.82, compared to the broader market0.005.0010.0015.0020.006.82

Sharpe Ratio

The current CBOE NASDAQ 100 Voltility Index Sharpe ratio is 0.10. 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 NASDAQ 100 Voltility 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-1.000.001.002.003.00FebruaryMarchAprilMayJuneJuly
0.10
1.82
^VXN (CBOE NASDAQ 100 Voltility 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%FebruaryMarchAprilMayJuneJuly
-73.33%
-2.86%
^VXN (CBOE NASDAQ 100 Voltility Index)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the CBOE NASDAQ 100 Voltility 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 NASDAQ 100 Voltility Index was 87.21%, occurring on Mar 20, 2017. The portfolio has not yet recovered.

The current CBOE NASDAQ 100 Voltility Index drawdown is 73.33%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-87.21%Nov 21, 20082096Mar 20, 2017
-82.42%Sep 21, 2001970Jul 28, 2005810Oct 15, 20081780
-42.69%Apr 25, 200147Jun 29, 200153Sep 20, 2001100
-35.26%Oct 28, 20086Nov 4, 200812Nov 20, 200818
-18.21%Oct 16, 20083Oct 20, 20084Oct 24, 20087

Volatility

Volatility Chart

The current CBOE NASDAQ 100 Voltility Index volatility is 15.03%, 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%10.00%20.00%30.00%40.00%50.00%60.00%70.00%FebruaryMarchAprilMayJuneJuly
15.03%
2.76%
^VXN (CBOE NASDAQ 100 Voltility Index)
Benchmark (^GSPC)