CBOE NASDAQ 100 Voltility Index (^VXN)
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.
Compare to other instruments
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.
| Period | Return | Benchmark |
|---|---|---|
| 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
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 9.94% | -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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
|---|---|---|---|---|---|
^VXN CBOE NASDAQ 100 Voltility Index | -0.59 | ||||
^GSPC S&P 500 | 1.20 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
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, 2008 | 2096 | Mar 20, 2017 | — | — | — |
| -82.42% | Sep 21, 2001 | 970 | Jul 28, 2005 | 810 | Oct 15, 2008 | 1780 |
| -42.69% | Apr 25, 2001 | 47 | Jun 29, 2001 | 53 | Sep 20, 2001 | 100 |
| -35.26% | Oct 28, 2008 | 6 | Nov 4, 2008 | 12 | Nov 20, 2008 | 18 |
| -18.21% | Oct 16, 2008 | 3 | Oct 20, 2008 | 4 | Oct 24, 2008 | 7 |
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.