^VIX vs. ^VXN
^VIX (CBOE Volatility Index) and ^VXN (CBOE NASDAQ 100 Voltility Index) are both indexes. Over the past 10 years, ^VIX returned 3.08%/yr vs 6.69%/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 14.78% return, which is significantly lower than ^VXN's 39.57% return. Over the past 10 years, ^VIX has underperformed ^VXN with an annualized return of 3.08%, while ^VXN has yielded a comparatively higher 6.69% annualized return.
^VIX
- 1D
- 14.17%
- 1M
- -2.94%
- 6M
- 13.49%
- YTD
- 14.78%
- 1Y
- 4.63%
- 3Y*
- 8.76%
- 5Y*
- 1.00%
- 10Y*
- 3.08%
^VXN
- 1D
- 9.68%
- 1M
- 0.11%
- 6M
- 39.78%
- YTD
- 39.57%
- 1Y
- 43.38%
- 3Y*
- 11.58%
- 5Y*
- 6.43%
- 10Y*
- 6.69%
^VIX vs. ^VXN - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^VIX CBOE Volatility Index | 14.78% | -13.83% | 39.36% | -42.55% | 25.84% | -24.31% | 65.09% | -45.79% | 130.25% | -21.37% |
^VXN CBOE NASDAQ 100 Voltility Index | 39.57% | -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 | -0.38 | ||
| Sortino ratioReturn per unit of downside risk | -0.34 | ||
| Omega ratioGain probability vs. loss probability | 1.12 | 1.16 | -0.04 |
| Calmar ratioReturn relative to maximum drawdown | 0.09 | 0.92 | -0.83 |
| Martin ratioReturn relative to average drawdown | 0.14 | 1.80 | -1.66 |
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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 | -79.25% | -66.91% | -12.34% |
Average DrawdownAverage peak-to-trough decline | -64.09% | -69.39% | +5.30% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 32.36% | 24.19% | +8.17% |
Volatility
^VIX vs. ^VXN - Volatility Comparison
CBOE Volatility Index (^VIX) has a higher volatility of 34.86% compared to CBOE NASDAQ 100 Voltility Index (^VXN) at 30.92%. 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 | 34.86% | 30.92% | +3.94% |
Volatility (6M)Calculated over the trailing 6-month period | 92.44% | 78.88% | +13.56% |
Volatility (1Y)Calculated over the trailing 1-year period | 124.55% | 104.34% | +20.21% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 127.59% | 94.11% | +33.48% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 136.48% | 106.46% | +30.02% |
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 (34.86%) compared to ^VXN (30.92%). In terms of maximum drawdown, ^VIX dropped -88.70% vs ^VXN's -87.50%.
^VXN currently has the higher Sharpe Ratio (0.42 vs 0.04), 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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