^VIX vs. SPY
^VIX (CBOE Volatility Index) is an index, while SPY (State Street SPDR S&P 500 ETF) is S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, ^VIX returned -2.75%/yr vs 15.53%/yr for SPY. At a correlation of -0.75, they often move in opposite directions.
Performance
^VIX vs. SPY - Performance Comparison
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Returns By Period
In the year-to-date period, ^VIX achieves a 30.37% return, which is significantly higher than SPY's 8.15% return. Over the past 10 years, ^VIX has underperformed SPY with an annualized return of -2.75%, while SPY has yielded a comparatively higher 15.53% 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%
SPY
- 1D
- -1.45%
- 1M
- -1.36%
- YTD
- 8.15%
- 6M
- 7.20%
- 1Y
- 23.59%
- 3Y*
- 20.68%
- 5Y*
- 13.05%
- 10Y*
- 15.53%
^VIX vs. SPY - 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% |
SPY State Street SPDR S&P 500 ETF | 8.15% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -4.57% | 21.71% |
Correlation
The correlation between ^VIX and SPY is -0.79, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.79 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.77 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.76 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.76 |
Correlation (All Time) Calculated using the full available price history since Jan 29, 1993 | -0.75 |
The correlation between ^VIX and SPY has been stable across timeframes, ranging from -0.79 to -0.75 - a consistent structural relationship.
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Return for Risk
^VIX vs. SPY — Risk / Return Rank
^VIX
SPY
^VIX vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for CBOE Volatility Index (^VIX) and State Street SPDR S&P 500 ETF (SPY). 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 | SPY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.91 | ||
| Sortino ratioReturn per unit of downside risk | -1.63 | ||
| Omega ratioGain probability vs. loss probability | 1.11 | 1.34 | -0.24 |
| Calmar ratioReturn relative to maximum drawdown | -0.03 | 2.67 | -2.70 |
| Martin ratioReturn relative to average drawdown | -0.06 | 11.92 | -11.98 |
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Drawdowns
^VIX vs. SPY - Drawdown Comparison
The maximum ^VIX drawdown since its inception was -88.70%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^VIX and SPY.
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Drawdown Indicators
| ^VIX | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -88.70% | -55.19% | -33.51% |
Max Drawdown (1Y)Largest decline over 1 year | -50.66% | -8.88% | -41.78% |
Max Drawdown (3Y)Largest decline over 3 years | -74.26% | -18.76% | -55.50% |
Max Drawdown (5Y)Largest decline over 5 years | -74.26% | -24.50% | -49.76% |
Max Drawdown (10Y)Largest decline over 10 years | -85.66% | -33.72% | -51.94% |
Current DrawdownCurrent decline from peak | -76.43% | -3.17% | -73.26% |
Average DrawdownAverage peak-to-trough decline | -64.07% | -9.04% | -55.03% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 30.70% | 1.98% | +28.72% |
Volatility
^VIX vs. SPY - Volatility Comparison
CBOE Volatility Index (^VIX) has a higher volatility of 49.16% compared to State Street SPDR S&P 500 ETF (SPY) at 4.87%. This indicates that ^VIX's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^VIX | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 49.16% | 4.87% | +44.29% |
Volatility (6M)Calculated over the trailing 6-month period | 91.13% | 9.85% | +81.28% |
Volatility (1Y)Calculated over the trailing 1-year period | 124.01% | 12.50% | +111.51% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 127.78% | 17.15% | +110.63% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 136.67% | 17.95% | +118.72% |
Frequently Asked Questions
^VIX and SPY have a correlation of -0.79, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^VIX has higher volatility (49.16%) compared to SPY (4.87%). In terms of maximum drawdown, ^VIX dropped -88.70% vs SPY's -55.19%.
SPY currently has the higher Sharpe Ratio (1.90 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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