^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 3.08%/yr vs 15.08%/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 14.78% return, which is significantly higher than SPY's 10.45% return. Over the past 10 years, ^VIX has underperformed SPY with an annualized return of 3.08%, while SPY has yielded a comparatively higher 15.08% 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%
SPY
- 1D
- -0.77%
- 1M
- 1.26%
- 6M
- 8.34%
- YTD
- 10.45%
- 1Y
- 21.46%
- 3Y*
- 20.07%
- 5Y*
- 12.94%
- 10Y*
- 15.08%
^VIX vs. SPY - 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% |
SPY State Street SPDR S&P 500 ETF | 10.45% | 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 -0.80, 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 | -0.80 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.78 |
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 -0.80 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 | -1.68 | ||
| Sortino ratioReturn per unit of downside risk | -1.32 | ||
| Omega ratioGain probability vs. loss probability | 1.12 | 1.31 | -0.19 |
| Calmar ratioReturn relative to maximum drawdown | 0.09 | 2.43 | -2.34 |
| Martin ratioReturn relative to average drawdown | 0.14 | 10.57 | -10.43 |
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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 | -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 DrawdownCurrent decline from peak | -79.25% | -1.12% | -78.13% |
Average DrawdownAverage peak-to-trough decline | -64.09% | -9.02% | -55.07% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 32.36% | 2.03% | +30.33% |
Volatility
^VIX vs. SPY - Volatility Comparison
CBOE Volatility Index (^VIX) has a higher volatility of 34.86% compared to State Street SPDR S&P 500 ETF (SPY) at 4.26%. 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 | 34.86% | 4.26% | +30.60% |
Volatility (6M)Calculated over the trailing 6-month period | 92.44% | 10.01% | +82.43% |
Volatility (1Y)Calculated over the trailing 1-year period | 124.55% | 12.60% | +111.95% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 127.59% | 17.17% | +110.42% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 136.48% | 17.93% | +118.55% |
Frequently Asked Questions
^VIX and SPY have a correlation of -0.80, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^VIX has higher volatility (34.86%) compared to SPY (4.26%). In terms of maximum drawdown, ^VIX dropped -88.70% vs SPY's -55.19%.
SPY currently has the higher Sharpe Ratio (1.71 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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