^VIX vs. ^VXN
^VIX (CBOE Volatility Index) and ^VXN (Cboe Nasdaq-100 Volatility Index) are both indexes. Over the past 10 years, ^VIX returned 3.37%/yr vs 6.05%/yr for ^VXN. Their correlation of 0.86 means they have usually moved in the same direction.
Performance
^VIX vs. ^VXN - Performance Comparison
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Returns By Period
In the year-to-date period, ^VIX achieves a 6.09% return, which is significantly lower than ^VXN's 26.64% return. Over the past 10 years, ^VIX has underperformed ^VXN with an annualized return of 3.37%, while ^VXN has yielded a comparatively higher 6.05% annualized return.
^VIX
- 1D
- -0.81%
- 1M
- -1.80%
- 6M
- -2.94%
- YTD
- 6.09%
- 1Y
- -22.18%
- 3Y*
- -2.48%
- 5Y*
- -2.47%
- 10Y*
- 3.37%
- ALL TIME*
- -0.23%
^VXN
- 1D
- -4.73%
- 1M
- -11.47%
- 6M
- 16.67%
- YTD
- 26.64%
- 1Y
- 15.00%
- 3Y*
- 4.00%
- 5Y*
- 3.68%
- 10Y*
- 6.05%
- ALL TIME*
- -3.77%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
^VIX vs. ^VXN - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^VIX CBOE Volatility Index | 6.09% | -13.83% | 39.36% | -42.55% | 25.84% | -24.31% | 65.09% | -45.79% | 130.25% | -21.37% |
^VXN Cboe Nasdaq-100 Volatility Index | 26.64% | -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, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.95 |
Correlation (3Y) Balances recent behavior with more history. | 0.94 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.94 |
Correlation (10Y) Provides a long-term view across more market conditions. | 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 Volatility 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 | -0.32 | ||
| Sortino ratioReturn per unit of downside risk | -0.37 | ||
| Omega ratioGain probability vs. loss probability | 1.07 | 1.12 | -0.04 |
| Calmar ratioReturn relative to maximum drawdown | -0.43 | 0.32 | -0.75 |
| Martin ratioReturn relative to average drawdown | -0.67 | 0.62 | -1.29 |
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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 | -51.59% | -47.43% | -4.16% |
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 | -80.82% | -69.97% | -10.85% |
Average DrawdownAverage peak-to-trough decline | -64.12% | -69.38% | +5.26% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 32.95% | 24.53% | +8.42% |
Volatility
^VIX vs. ^VXN - Volatility Comparison
CBOE Volatility Index (^VIX) has a higher volatility of 37.00% compared to Cboe Nasdaq-100 Volatility Index (^VXN) at 25.06%. 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 | 37.00% | 25.06% | +11.94% |
Volatility (6M)Calculated over the trailing 6-month period | 92.00% | 77.31% | +14.69% |
Volatility (1Y)Calculated over the trailing 1-year period | 125.83% | 104.43% | +21.40% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 127.52% | 93.92% | +33.60% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 136.73% | 106.54% | +30.19% |
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 (37.00%) compared to ^VXN (25.06%). In terms of maximum drawdown, ^VIX dropped -88.70% vs ^VXN's -87.50%.
^VXN currently has the higher Sharpe Ratio (0.14 vs -0.18), 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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