^VIX vs. ^VXN
^VIX (CBOE Volatility Index) and ^VXN (CBOE NASDAQ 100 Voltility Index) are both indexes. Over the past 10 years, ^VIX returned -2.75%/yr vs 2.67%/yr for ^VXN. Their correlation of 0.86 suggests significant overlap in exposure.
Performance
^VIX vs. ^VXN - Performance Comparison
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Returns By Period
In the year-to-date period, ^VIX achieves a 30.37% return, which is significantly lower than ^VXN's 65.49% return. Over the past 10 years, ^VIX has underperformed ^VXN with an annualized return of -2.75%, while ^VXN has yielded a comparatively higher 2.67% annualized return.
^VIX
- 1D
- 12.79%
- 1M
- 16.71%
- YTD
- 30.37%
- 6M
- 39.21%
- 1Y
- -1.71%
- 3Y*
- 13.19%
- 5Y*
- 4.06%
- 10Y*
- -2.75%
^VXN
- 1D
- 16.99%
- 1M
- 41.85%
- YTD
- 65.49%
- 6M
- 85.29%
- 1Y
- 53.05%
- 3Y*
- 18.83%
- 5Y*
- 10.55%
- 10Y*
- 2.67%
^VIX vs. ^VXN - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^VIX CBOE Volatility Index | 30.37% | -13.83% | 39.36% | -42.55% | 25.84% | -24.31% | 65.09% | -45.79% | 130.25% | -21.37% |
^VXN CBOE NASDAQ 100 Voltility Index | 65.49% | -1.81% | 22.96% | -41.30% | 30.19% | -21.28% | 59.44% | -46.28% | 100.51% | -6.00% |
Correlation
The correlation between ^VIX and ^VXN is 0.95 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.95 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.94 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.94 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.90 |
Correlation (All Time) Calculated using the full available price history since Jan 23, 2001 | 0.86 |
The correlation between ^VIX and ^VXN has been stable across timeframes, ranging from 0.86 to 0.95 - a consistent structural relationship.
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Return for Risk
^VIX vs. ^VXN — Risk / Return Rank
^VIX
^VXN
^VIX vs. ^VXN - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for CBOE Volatility Index (^VIX) and CBOE NASDAQ 100 Voltility Index (^VXN). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ^VIX | ^VXN | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.53 | ||
| Sortino ratioReturn per unit of downside risk | -0.54 | ||
| Omega ratioGain probability vs. loss probability | 1.11 | 1.17 | -0.07 |
| Calmar ratioReturn relative to maximum drawdown | -0.03 | 1.12 | -1.16 |
| Martin ratioReturn relative to average drawdown | -0.06 | 2.22 | -2.27 |
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Drawdowns
^VIX vs. ^VXN - Drawdown Comparison
The maximum ^VIX drawdown since its inception was -88.70%, roughly equal to the maximum ^VXN drawdown of -87.50%. Use the drawdown chart below to compare losses from any high point for ^VIX and ^VXN.
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Drawdown Indicators
| ^VIX | ^VXN | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -88.70% | -87.50% | -1.20% |
Max Drawdown (1Y)Largest decline over 1 year | -50.66% | -47.43% | -3.23% |
Max Drawdown (3Y)Largest decline over 3 years | -74.26% | -61.32% | -12.94% |
Max Drawdown (5Y)Largest decline over 5 years | -74.26% | -67.20% | -7.06% |
Max Drawdown (10Y)Largest decline over 10 years | -85.66% | -83.03% | -2.63% |
Current DrawdownCurrent decline from peak | -76.43% | -60.76% | -15.67% |
Average DrawdownAverage peak-to-trough decline | -64.07% | -69.39% | +5.32% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 30.70% | 24.10% | +6.60% |
Volatility
^VIX vs. ^VXN - Volatility Comparison
CBOE Volatility Index (^VIX) has a higher volatility of 49.16% compared to CBOE NASDAQ 100 Voltility Index (^VXN) at 41.32%. This indicates that ^VIX's price experiences larger fluctuations and is considered to be riskier than ^VXN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^VIX | ^VXN | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 49.16% | 41.32% | +7.84% |
Volatility (6M)Calculated over the trailing 6-month period | 91.13% | 78.01% | +13.12% |
Volatility (1Y)Calculated over the trailing 1-year period | 124.01% | 103.48% | +20.53% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 127.78% | 94.21% | +33.57% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 136.67% | 106.58% | +30.09% |
Frequently Asked Questions
With a correlation of 0.95, ^VIX and ^VXN move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
^VIX has higher volatility (49.16%) compared to ^VXN (41.32%). In terms of maximum drawdown, ^VIX dropped -88.70% vs ^VXN's -87.50%.
^VXN currently has the higher Sharpe Ratio (0.52 vs -0.01), 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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