^VIX vs. SPY
Compare and contrast key facts about CBOE Volatility Index (^VIX) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^VIX or SPY.
Key characteristics
| ^VIX | SPY | |
|---|---|---|
| YTD Return | 12.61% | 26.83% |
| 1Y Return | -0.99% | 34.88% |
| 3Y Return (Ann) | -4.71% | 10.16% |
| 5Y Return (Ann) | 2.97% | 15.71% |
| 10Y Return (Ann) | 0.50% | 13.33% |
| Sharpe Ratio | 0.09 | 3.08 |
| Sortino Ratio | 1.16 | 4.10 |
| Omega Ratio | 1.14 | 1.58 |
| Calmar Ratio | 0.12 | 4.46 |
| Martin Ratio | 0.32 | 20.22 |
| Ulcer Index | 33.14% | 1.85% |
| Daily Std Dev | 119.90% | 12.18% |
| Max Drawdown | -88.70% | -55.19% |
| Current Drawdown | -83.05% | -0.26% |
Correlation
The correlation between ^VIX and SPY is -0.75. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Performance
^VIX vs. SPY - Performance Comparison
In the year-to-date period, ^VIX achieves a 12.61% return, which is significantly lower than SPY's 26.83% return. Over the past 10 years, ^VIX has underperformed SPY with an annualized return of 0.50%, while SPY has yielded a comparatively higher 13.33% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^VIX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for CBOE Volatility Index (^VIX) and 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.
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. For additional features, visit the drawdowns tool.
Volatility
^VIX vs. SPY - Volatility Comparison
CBOE Volatility Index (^VIX) has a higher volatility of 31.87% compared to SPDR S&P 500 ETF (SPY) at 3.77%. 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.