^VVIX vs. ^GSPC
^VVIX (Cboe VVIX Index) and ^GSPC (S&P 500 Index) are both indexes. Over the past 10 years, ^VVIX returned -0.24%/yr vs 13.26%/yr for ^GSPC. Their -0.62 correlation means they have often moved in opposite directions in the past.
Performance
^VVIX vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, ^VVIX achieves a -1.11% return, which is significantly lower than ^GSPC's 9.41% return. Over the past 10 years, ^VVIX has underperformed ^GSPC with an annualized return of -0.24%, while ^GSPC has yielded a comparatively higher 13.26% annualized return.
^VVIX
- 1D
- -3.19%
- 1M
- 3.20%
- 6M
- -15.29%
- YTD
- -1.11%
- 1Y
- -16.53%
- 3Y*
- 1.56%
- 5Y*
- -4.63%
- 10Y*
- -0.24%
- ALL TIME*
- 0.23%
^GSPC
- 1D
- 0.70%
- 1M
- 0.09%
- 6M
- 7.94%
- YTD
- 9.41%
- 1Y
- 20.07%
- 3Y*
- 17.84%
- 5Y*
- 11.25%
- 10Y*
- 13.26%
- ALL TIME*
- 8.09%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
^GSPC S&P 500 Index | $37.98T | $37.61T | $41.48T |
^VVIX Cboe VVIX Index | $0.00 | $0.00 | $0.00 |
^VVIX vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^VVIX Cboe VVIX Index | -1.11% | -11.18% | 19.97% | 12.86% | -29.74% | -1.96% | 18.87% | 8.02% | -13.55% | 10.00% |
^GSPC S&P 500 Index | 9.41% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
Correlation
The correlation between ^VVIX and ^GSPC is -0.71, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.71 |
Correlation (3Y) Balances recent behavior with more history. | -0.69 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.66 |
Correlation (10Y) Provides a long-term view across more market conditions. | -0.63 |
Correlation (All Time) Calculated using the full available price history since Jan 3, 2007 | -0.62 |
The correlation between ^VVIX and ^GSPC has been stable across timeframes, ranging from -0.71 to -0.62 - a consistent structural relationship.
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Return for Risk
^VVIX vs. ^GSPC — Risk / Return Rank
^VVIX
^GSPC
^VVIX vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Cboe VVIX Index (^VVIX) and S&P 500 Index (^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.
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.
| ^VVIX | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.49 | ||
| Sortino ratioReturn per unit of downside risk | -1.43 | ||
| Omega ratioGain probability vs. loss probability | 1.06 | 1.25 | -0.19 |
| Calmar ratioReturn relative to maximum drawdown | -0.18 | 2.00 | -2.18 |
| Martin ratioReturn relative to average drawdown | -0.27 | 8.49 | -8.77 |
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Drawdowns
^VVIX vs. ^GSPC - Drawdown Comparison
The maximum ^VVIX drawdown since its inception was -64.71%, 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.
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Drawdown Indicators
| ^VVIX | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -64.71% | -56.78% | -7.93% |
Max Drawdown (1Y)Largest decline over 1 year | -38.94% | -9.10% | -29.84% |
Max Drawdown (3Y)Largest decline over 3 years | -52.75% | -18.90% | -33.85% |
Max Drawdown (5Y)Largest decline over 5 years | -53.07% | -25.43% | -27.64% |
Max Drawdown (10Y)Largest decline over 10 years | -64.71% | -33.92% | -30.79% |
Current DrawdownCurrent decline from peak | -55.86% | -1.58% | -54.28% |
Average DrawdownAverage peak-to-trough decline | -44.01% | -10.70% | -33.31% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 25.02% | 2.14% | +22.88% |
Volatility
^VVIX vs. ^GSPC - Volatility Comparison
Cboe VVIX Index (^VVIX) has a higher volatility of 25.85% compared to S&P 500 Index (^GSPC) at 3.51%. 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.
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Volatility by Period
| ^VVIX | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 25.85% | 3.51% | +22.34% |
Volatility (6M)Calculated over the trailing 6-month period | 64.83% | 10.11% | +54.72% |
Volatility (1Y)Calculated over the trailing 1-year period | 89.10% | 12.87% | +76.23% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 88.44% | 17.01% | +71.43% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 86.29% | 18.07% | +68.22% |
Frequently Asked Questions
^VVIX and ^GSPC have a correlation of -0.71, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^VVIX has higher volatility (25.85%) compared to ^GSPC (3.51%). In terms of maximum drawdown, ^VVIX dropped -64.71% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (1.42 vs -0.08), 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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