^GVZ vs. ^VIX
^GVZ (CBOE Gold Volatility Index) and ^VIX (CBOE Volatility Index) are both indexes. Over the past 10 years, ^GVZ returned 3.17%/yr vs 1.55%/yr for ^VIX. At a 0.40 correlation, their price movements are largely independent.
Performance
^GVZ vs. ^VIX - Performance Comparison
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Returns By Period
In the year-to-date period, ^GVZ achieves a 17.22% return, which is significantly lower than ^VIX's 32.91% return. Over the past 10 years, ^GVZ has outperformed ^VIX with an annualized return of 3.17%, while ^VIX has yielded a comparatively lower 1.55% annualized return.
^GVZ
- 1D
- 3.20%
- 1M
- 5.89%
- YTD
- 17.22%
- 6M
- 37.79%
- 1Y
- 44.16%
- 3Y*
- 27.00%
- 5Y*
- 12.59%
- 10Y*
- 3.17%
^VIX
- 1D
- 5.02%
- 1M
- 15.59%
- YTD
- 32.91%
- 6M
- 17.37%
- 1Y
- 15.79%
- 3Y*
- 12.84%
- 5Y*
- 4.30%
- 10Y*
- 1.55%
^GVZ vs. ^VIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^GVZ CBOE Gold Volatility Index | 17.22% | 63.61% | -7.76% | -2.46% | 11.23% | -29.73% | 64.61% | -6.31% | 22.99% | -32.47% |
^VIX CBOE Volatility Index | 32.91% | -13.83% | 39.36% | -42.55% | 25.84% | -24.31% | 65.09% | -45.79% | 130.25% | -21.37% |
Correlation
The correlation between ^GVZ and ^VIX is 0.39, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.39 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.39 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.42 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.41 |
Correlation (All Time) Calculated using the full available price history since Jun 3, 2008 | 0.40 |
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Return for Risk
^GVZ vs. ^VIX — Risk / Return Rank
^GVZ
^VIX
^GVZ vs. ^VIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for CBOE Gold Volatility Index (^GVZ) and CBOE Volatility Index (^VIX). 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.
| ^GVZ | ^VIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.36 | ||
| Sortino ratioReturn per unit of downside risk | +0.30 | ||
| Omega ratioGain probability vs. loss probability | 1.15 | 1.13 | +0.02 |
| Calmar ratioReturn relative to maximum drawdown | 0.92 | 0.31 | +0.61 |
| Martin ratioReturn relative to average drawdown | 1.61 | 0.51 | +1.11 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ^GVZ | ^VIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.49 | 0.13 | +0.36 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.16 | 0.03 | +0.13 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.04 | 0.01 | +0.03 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.01 | 0.00 | +0.01 |
Drawdowns
^GVZ vs. ^VIX - Drawdown Comparison
The maximum ^GVZ drawdown since its inception was -86.24%, roughly equal to the maximum ^VIX drawdown of -88.70%. Use the drawdown chart below to compare losses from any high point for ^GVZ and ^VIX.
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Drawdown Indicators
| ^GVZ | ^VIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -86.24% | -88.70% | +2.46% |
Max Drawdown (1Y)Largest decline over 1 year | -48.15% | -50.66% | +2.51% |
Max Drawdown (3Y)Largest decline over 3 years | -48.15% | -74.26% | +26.11% |
Max Drawdown (5Y)Largest decline over 5 years | -67.76% | -74.26% | +6.50% |
Max Drawdown (10Y)Largest decline over 10 years | -79.13% | -85.66% | +6.53% |
Current DrawdownCurrent decline from peak | -56.55% | -75.97% | +19.42% |
Average DrawdownAverage peak-to-trough decline | -69.90% | -64.06% | -5.84% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 27.43% | 31.26% | -3.83% |
Volatility
^GVZ vs. ^VIX - Volatility Comparison
The current volatility for CBOE Gold Volatility Index (^GVZ) is 23.74%, while CBOE Volatility Index (^VIX) has a volatility of 39.61%. This indicates that ^GVZ experiences smaller price fluctuations and is considered to be less risky than ^VIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^GVZ | ^VIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 23.74% | 39.61% | -15.87% |
Volatility (6M)Calculated over the trailing 6-month period | 70.22% | 88.02% | -17.80% |
Volatility (1Y)Calculated over the trailing 1-year period | 91.10% | 122.50% | -31.40% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 78.83% | 127.56% | -48.73% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 83.46% | 137.60% | -54.14% |
Frequently Asked Questions
^GVZ and ^VIX have a correlation of 0.39, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^VIX has higher volatility (39.61%) compared to ^GVZ (23.74%). In terms of maximum drawdown, ^GVZ dropped -86.24% vs ^VIX's -88.70%.
^GVZ currently has the higher Sharpe Ratio (0.49 vs 0.13), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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