^VVIX vs. ^GSPC

In the year-to-date period, ^VVIX achieves a -10.35% return, which is significantly lower than ^GSPC's 6.43% return. Over the past 10 years, ^VVIX has underperformed ^GSPC with an annualized return of 0.69%, while ^GSPC has yielded a comparatively higher 11.49% annualized return.

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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.

The current ^VVIX Sharpe Ratio is 0.09, which is lower than the ^GSPC Sharpe Ratio of 0.61. The chart below compares the historical Sharpe Ratios of ^VVIX and ^GSPC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

The correlation between ^VVIX and ^GSPC is 1.00, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

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.

CBOE VIX Volatility Index (^VVIX) has a higher volatility of 25.38% compared to S&P 500 (^GSPC) at 2.89%. 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.