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CBOE NASDAQ 100 Voltility Index (^VXN)

Index · Currency in USD · Last updated Dec 8, 2023
Summary

Share Price Chart


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Performance

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.


-10.00%0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
-9.56%
6.67%
^VXN (CBOE NASDAQ 100 Voltility Index)
Benchmark (^GSPC)

S&P 500

Compare to other instruments

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CBOE NASDAQ 100 Voltility Index

Popular comparisons: ^VXN vs. QQQ

Return

CBOE NASDAQ 100 Voltility Index had a return of -38.12% year-to-date (YTD) and -39.24% in the last 12 months. Over the past 10 years, CBOE NASDAQ 100 Voltility Index had an annualized return of 1.44%, while the S&P 500 had an annualized return of 9.77%, indicating that CBOE NASDAQ 100 Voltility Index did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date-38.12%19.43%
1 month-7.43%4.73%
6 months-8.47%6.79%
1 year-39.24%16.57%
5 years (annualized)-9.39%11.75%
10 years (annualized)1.44%9.77%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20239.94%-11.62%-1.18%-3.00%13.55%5.55%-25.56%

Risk-Adjusted Performance

This table presents a comparison of risk-adjusted performance metrics for CBOE NASDAQ 100 Voltility Index (^VXN) 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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^VXN
CBOE NASDAQ 100 Voltility Index
-0.59
^GSPC
S&P 500
1.20

Sharpe Ratio

The current CBOE NASDAQ 100 Voltility Index Sharpe ratio is -0.59. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.


Rolling 12-month Sharpe Ratio-0.500.000.501.00JulyAugustSeptemberOctoberNovemberDecember
-0.59
1.21
^VXN (CBOE NASDAQ 100 Voltility Index)
Benchmark (^GSPC)

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%JulyAugustSeptemberOctoberNovemberDecember
-78.82%
-4.40%
^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.


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 Chart

The current CBOE NASDAQ 100 Voltility Index volatility is 15.45%, 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.


5.00%10.00%15.00%20.00%25.00%JulyAugustSeptemberOctoberNovemberDecember
15.45%
2.98%
^VXN (CBOE NASDAQ 100 Voltility Index)
Benchmark (^GSPC)