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Last updated May 27, 2023

Compare and contrast key facts about CBOE Volatility Index (^VIX) and Global X S&P 500 Covered Call ETF (XYLD).

XYLD is a passively managed fund by Global X that tracks the performance of the CBOE S&P 500 2% OTM BuyWrite Index. It was launched on Jun 24, 2013.

Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^VIX or XYLD.

Key characteristics

YTD Return-17.17%8.05%
1Y Return-34.73%3.49%
5Y Return (Ann)6.28%4.68%
10Y Return (Ann)2.17%7.06%
Sharpe Ratio-0.320.34
Daily Std Dev86.82%12.24%
Max Drawdown-88.70%-33.80%



The correlation between ^VIX and XYLD is -0.67. 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.

^VIX vs. XYLD - Performance Comparison

In the year-to-date period, ^VIX achieves a -17.17% return, which is significantly lower than XYLD's 8.05% return. Over the past 10 years, ^VIX has underperformed XYLD with an annualized return of 2.17%, while XYLD has yielded a comparatively higher 7.06% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


Compare stocks, funds, or ETFs

CBOE Volatility Index

Global X S&P 500 Covered Call ETF

^VIX vs. XYLD - Risk-Adjusted Performance 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.

Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
CBOE Volatility Index
Global X S&P 500 Covered Call ETF

^VIX vs. XYLD - Sharpe Ratio Comparison

The current ^VIX Sharpe Ratio is -0.32, which is lower than the XYLD Sharpe Ratio of 0.21. The chart below compares the 12-month rolling Sharpe Ratio of ^VIX and XYLD.


^VIX vs. XYLD - Drawdown Comparison

The maximum ^VIX drawdown for the period was -80.92%, lower than the maximum XYLD drawdown of -14.08%. The drawdown chart below compares losses from any high point along the way for ^VIX and XYLD


^VIX vs. XYLD - Volatility Comparison

CBOE Volatility Index (^VIX) has a higher volatility of 29.10% compared to Global X S&P 500 Covered Call ETF (XYLD) at 2.15%. 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.