^VVIX vs. ^GSPC
Compare and contrast key facts about CBOE VIX Volatility Index (^VVIX) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^VVIX or ^GSPC.
Performance
^VVIX vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, ^VVIX achieves a 16.49% return, which is significantly lower than ^GSPC's 24.72% return. Over the past 10 years, ^VVIX has underperformed ^GSPC with an annualized return of 2.48%, while ^GSPC has yielded a comparatively higher 11.16% annualized return.
^VVIX
16.49%
0.80%
19.71%
21.49%
1.41%
2.48%
^GSPC
24.72%
1.67%
12.93%
30.55%
13.88%
11.16%
Key characteristics
| ^VVIX | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 0.19 | 2.54 |
| Sortino Ratio | 1.10 | 3.40 |
| Omega Ratio | 1.12 | 1.47 |
| Calmar Ratio | 0.28 | 3.66 |
| Martin Ratio | 0.68 | 16.26 |
| Ulcer Index | 26.44% | 1.91% |
| Daily Std Dev | 94.96% | 12.23% |
| Max Drawdown | -78.10% | -56.78% |
| Current Drawdown | -51.20% | -0.88% |
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Correlation
The correlation between ^VVIX and ^GSPC is -0.60. 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.
Risk-Adjusted Performance
^VVIX vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for CBOE VIX Volatility Index (^VVIX) and S&P 500 (^GSPC). 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
^VVIX vs. ^GSPC - Drawdown Comparison
The maximum ^VVIX drawdown since its inception was -78.10%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ^VVIX and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
^VVIX vs. ^GSPC - Volatility Comparison
CBOE VIX Volatility Index (^VVIX) has a higher volatility of 27.49% compared to S&P 500 (^GSPC) at 3.96%. This indicates that ^VVIX's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.