^VIX vs. SPY

Last updated Aug 1, 2026

^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 1.81%/yr vs 15.07%/yr for SPY. Their -0.75 correlation means they have often moved in opposite directions in the past.

Performance

^VIX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in CBOE Volatility Index (^VIX) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ^VIX achieves a 6.96% return, which is significantly lower than SPY's 10.13% return. Over the past 10 years, ^VIX has underperformed SPY with an annualized return of 1.81%, while SPY has yielded a comparatively higher 15.07% annualized return.

^VIX

• 1D: -6.44%
• 1M: -0.99%
• 6M: -8.31%
• YTD: 6.96%
• 1Y: -21.54%
• 3Y*: 4.70%
• 5Y*: -2.60%
• 10Y*: 1.81%
• ALL TIME*: -0.21%

SPY

• 1D: 0.72%
• 1M: 0.30%
• 6M: 8.53%
• YTD: 10.13%
• 1Y: 21.49%
• 3Y*: 19.32%
• 5Y*: 12.76%
• 10Y*: 15.07%
• ALL TIME*: 10.79%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
^VIX CBOE Volatility Index	$0.00	$0.00	$0.00
SPY State Street SPDR S&P 500 ETF	$37.27B	$35.99B	$39.23B

^VIX vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^VIX CBOE Volatility Index	6.96%	-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	10.13%	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 -0.81, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	-0.81
Correlation (3Y) Balances recent behavior with more history.	-0.79
Correlation (5Y) Shows whether the relationship held over a longer period.	-0.76
Correlation (10Y) Provides a long-term view across more market conditions.	-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 -0.81 to -0.75 - a consistent structural relationship.

Return for Risk

^VIX vs. SPY — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

^VIX

^VIX Risk / Return Rank: 11
^VIX Sharpe Ratio Rank: 3
^VIX Sortino Ratio Rank: 23
^VIX Omega Ratio Rank: 22
^VIX Calmar Ratio Rank: 3
^VIX Martin Ratio Rank: 3

SPY

SPY Risk / Return Rank: 67
SPY Sharpe Ratio Rank: 67
SPY Sortino Ratio Rank: 64
SPY Omega Ratio Rank: 65
SPY Calmar Ratio Rank: 64
SPY Martin Ratio Rank: 76

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

^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 ratio: Return per unit of total volatility	-0.03	1.52	-1.55
Sortino ratio: Return per unit of downside risk	0.94	2.11	-1.17
Omega ratio: Gain probability vs. loss probability	1.11	1.27	-0.17
Calmar ratio: Return relative to maximum drawdown	-0.08	2.20	-2.29
Martin ratio: Return relative to average drawdown	-0.13	9.40	-9.53

^VIX vs. SPY - Sharpe Ratio Comparison

The current ^VIX Sharpe Ratio is -0.03, which is lower than the SPY Sharpe Ratio of 1.52. The chart below compares the historical Sharpe Ratios of ^VIX and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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.

Drawdown Indicators

	^VIX	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-88.70%	-55.19%	-33.51%
Max Drawdown (1Y) Largest decline over 1 year	-51.59%	-8.88%	-42.71%
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 Drawdown Current decline from peak	-80.66%	-1.40%	-79.26%
Average Drawdown Average peak-to-trough decline	-64.12%	-9.01%	-55.11%
Ulcer Index Depth and duration of drawdowns from previous peaks	33.86%	2.08%	+31.78%

Volatility

^VIX vs. SPY - Volatility Comparison

CBOE Volatility Index (^VIX) has a higher volatility of 37.09% compared to State Street SPDR S&P 500 ETF (SPY) at 3.58%. 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.

Volatility by Period

	^VIX	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	37.09%	3.58%	+33.51%
Volatility (6M) Calculated over the trailing 6-month period	92.23%	10.14%	+82.09%
Volatility (1Y) Calculated over the trailing 1-year period	127.66%	12.89%	+114.77%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	127.54%	17.18%	+110.36%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	136.71%	17.95%	+118.76%

Frequently Asked Questions

Can I hold both ^VIX and SPY in my portfolio?

^VIX and SPY have a correlation of -0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ^VIX or SPY?

^VIX has higher volatility (37.09%) compared to SPY (3.58%). In terms of maximum drawdown, ^VIX dropped -88.70% vs SPY's -55.19%.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (1.52 vs -0.03), 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.