^VIX vs. XYLD

Last updated Jun 5, 2026

^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 1.21%/yr vs 8.23%/yr for XYLD. At a correlation of -0.68, they often move in opposite directions.

Performance

^VIX vs. XYLD - Performance Comparison

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

Returns By Period

In the year-to-date period, ^VIX achieves a 3.01% return, which is significantly lower than XYLD's 5.14% return. Over the past 10 years, ^VIX has underperformed XYLD with an annualized return of 1.21%, while XYLD has yielded a comparatively higher 8.23% annualized return.

^VIX

• 1D: -4.11%
• 1M: -11.39%
• YTD: 3.01%
• 6M: -2.41%
• 1Y: -12.55%
• 3Y*: 1.49%
• 5Y*: -1.27%
• 10Y*: 1.21%

XYLD

• 1D: 0.17%
• 1M: 1.87%
• YTD: 5.14%
• 6M: 6.53%
• 1Y: 17.83%
• 3Y*: 11.29%
• 5Y*: 7.76%
• 10Y*: 8.23%

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

^VIX vs. XYLD - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^VIX CBOE Volatility Index	3.01%	-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	5.14%	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 -0.76, 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	-0.76
Correlation (3Y) Calculated over the trailing 3-year period	-0.73
Correlation (5Y) Calculated over the trailing 5-year period	-0.72
Correlation (10Y) Calculated over the trailing 10-year period	-0.69
Correlation (All Time) Calculated using the full available price history since Jun 25, 2013	-0.68

The correlation between ^VIX and XYLD has been stable across timeframes, ranging from -0.76 to -0.68 - a consistent structural relationship.

Return for Risk

^VIX vs. XYLD — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^VIX

^VIX Risk / Return Rank: 15
^VIX Sharpe Ratio Rank: 8
^VIX Sortino Ratio Rank: 27
^VIX Omega Ratio Rank: 27
^VIX Calmar Ratio Rank: 4
^VIX Martin Ratio Rank: 7

XYLD

XYLD Risk / Return Rank: 84
XYLD Sharpe Ratio Rank: 84
XYLD Sortino Ratio Rank: 87
XYLD Omega Ratio Rank: 93
XYLD Calmar Ratio Rank: 69
XYLD Martin Ratio Rank: 86

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^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.

	^VIX	XYLD	Difference
Sharpe ratio: Return per unit of total volatility	-0.11	2.74	-2.84
Sortino ratio: Return per unit of downside risk	0.68	3.90	-3.22
Omega ratio: Gain probability vs. loss probability	1.08	1.65	-0.57
Calmar ratio: Return relative to maximum drawdown	-0.24	3.39	-3.63
Martin ratio: Return relative to average drawdown	-0.39	18.02	-18.40
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^VIX vs. XYLD - Sharpe Ratio Comparison

The current ^VIX Sharpe Ratio is -0.11, which is lower than the XYLD Sharpe Ratio of 2.74. The chart below compares the historical Sharpe Ratios of ^VIX and XYLD, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	^VIX	XYLD	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.11	2.74	-2.84
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.01	0.69	-0.70
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.01	0.58	-0.57
Sharpe Ratio (All Time) Calculated using the full available price history	-0.00	0.60	-0.61

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.

Drawdown Indicators

	^VIX	XYLD	Difference
Max Drawdown Largest peak-to-trough decline	-88.70%	-33.46%	-55.24%
Max Drawdown (1Y) Largest decline over 1 year	-50.66%	-5.29%	-45.37%
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 Drawdown Current decline from peak	-81.38%	0.00%	-81.38%
Average Drawdown Average peak-to-trough decline	-64.11%	-3.72%	-60.39%
Ulcer Index Depth and duration of drawdowns from previous peaks	32.03%	0.99%	+31.04%

Volatility

^VIX vs. XYLD - Volatility Comparison

CBOE Volatility Index (^VIX) has a higher volatility of 15.64% compared to Global X S&P 500 Covered Call ETF (XYLD) at 0.85%. 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.

Volatility by Period

	^VIX	XYLD	Difference
Volatility (1M) Calculated over the trailing 1-month period	15.64%	0.85%	+14.79%
Volatility (6M) Calculated over the trailing 6-month period	78.64%	5.37%	+73.27%
Volatility (1Y) Calculated over the trailing 1-year period	112.69%	6.54%	+106.15%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	123.87%	11.22%	+112.65%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	135.80%	14.21%	+121.59%

Frequently Asked Questions

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

^VIX and XYLD have a correlation of -0.76, 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 XYLD?

^VIX has higher volatility (15.64%) compared to XYLD (0.85%). In terms of maximum drawdown, ^VIX dropped -88.70% vs XYLD's -33.46%.

Which has better risk-adjusted returns?

XYLD currently has the higher Sharpe Ratio (2.74 vs -0.11), 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.