^VIX vs. XYLD
^VIX (CBOE Volatility Index) is an index, while XYLD (Global X S&P 500 Covered Call ETF) is Derivative Income fund tracking the Cboe S&P 500 BuyWrite Index. Over the past 10 years, ^VIX returned 1.04%/yr vs 8.22%/yr for XYLD. At a correlation of -0.68, they often move in opposite directions.
Performance
^VIX vs. XYLD - Performance Comparison
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Returns By Period
In the year-to-date period, ^VIX achieves a 0.54% return, which is significantly lower than XYLD's 7.11% return. Over the past 10 years, ^VIX has underperformed XYLD with an annualized return of 1.04%, while XYLD has yielded a comparatively higher 8.22% annualized return.
^VIX
- 1D
- -5.11%
- 1M
- -14.99%
- 6M
- 3.73%
- YTD
- 0.54%
- 1Y
- -8.35%
- 3Y*
- 0.42%
- 5Y*
- -1.46%
- 10Y*
- 1.04%
XYLD
- 1D
- 0.19%
- 1M
- 2.18%
- 6M
- 6.22%
- YTD
- 7.11%
- 1Y
- 17.32%
- 3Y*
- 11.64%
- 5Y*
- 7.74%
- 10Y*
- 8.22%
^VIX vs. XYLD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^VIX CBOE Volatility Index | 0.54% | -13.83% | 39.36% | -42.55% | 25.84% | -24.31% | 65.09% | -45.79% | 130.25% | -21.37% |
XYLD Global X S&P 500 Covered Call ETF | 7.11% | 8.02% | 19.49% | 11.10% | -12.05% | 19.59% | -0.56% | 21.41% | -6.09% | 16.49% |
Correlation
The correlation between ^VIX and XYLD is -0.81, 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 | -0.81 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.76 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.74 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.70 |
Correlation (All Time) Calculated using the full available price history since Jun 24, 2013 | -0.68 |
The correlation between ^VIX and XYLD shifts across timeframes, from -0.81 (1 year) to -0.68 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
^VIX vs. XYLD — Risk / Return Rank
^VIX
XYLD
^VIX vs. XYLD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for CBOE Volatility Index (^VIX) and Global X S&P 500 Covered Call ETF (XYLD). 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 | XYLD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.55 | ||
| Sortino ratioReturn per unit of downside risk | -2.67 | ||
| Omega ratioGain probability vs. loss probability | 1.10 | 1.58 | -0.47 |
| Calmar ratioReturn relative to maximum drawdown | -0.09 | 3.29 | -3.38 |
| Martin ratioReturn relative to average drawdown | -0.15 | 17.13 | -17.28 |
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Drawdowns
^VIX vs. XYLD - Drawdown Comparison
The maximum ^VIX drawdown since its inception was -88.70%, which is greater than XYLD's maximum drawdown of -33.46%. Use the drawdown chart below to compare losses from any high point for ^VIX and XYLD.
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Drawdown Indicators
| ^VIX | XYLD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -88.70% | -33.46% | -55.24% |
Max Drawdown (1Y)Largest decline over 1 year | -51.59% | -5.29% | -46.30% |
Max Drawdown (3Y)Largest decline over 3 years | -74.26% | -15.53% | -58.73% |
Max Drawdown (5Y)Largest decline over 5 years | -74.26% | -18.66% | -55.60% |
Max Drawdown (10Y)Largest decline over 10 years | -85.66% | -33.46% | -52.20% |
Current DrawdownCurrent decline from peak | -81.82% | 0.00% | -81.82% |
Average DrawdownAverage peak-to-trough decline | -64.09% | -3.69% | -60.40% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 32.23% | 1.01% | +31.22% |
Volatility
^VIX vs. XYLD - Volatility Comparison
CBOE Volatility Index (^VIX) has a higher volatility of 34.01% compared to Global X S&P 500 Covered Call ETF (XYLD) at 2.34%. This indicates that ^VIX's price experiences larger fluctuations and is considered to be riskier than XYLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^VIX | XYLD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 34.01% | 2.34% | +31.67% |
Volatility (6M)Calculated over the trailing 6-month period | 91.72% | 5.91% | +85.81% |
Volatility (1Y)Calculated over the trailing 1-year period | 123.59% | 6.93% | +116.66% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 127.41% | 11.27% | +116.14% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 136.37% | 14.15% | +122.22% |
Frequently Asked Questions
^VIX and XYLD 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.
^VIX has higher volatility (34.01%) compared to XYLD (2.34%). In terms of maximum drawdown, ^VIX dropped -88.70% vs XYLD's -33.46%.
XYLD currently has the higher Sharpe Ratio (2.51 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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