PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
^VVIX vs. ^GSPC
Performance
Return for Risk
Drawdowns
Volatility

^VVIX vs. ^GSPC

Last updated Jun 5, 2026

^VVIX (CBOE VIX Volatility Index) and ^GSPC (S&P 500 Index) are both indexes. Over the past 10 years, ^VVIX returned 0.61%/yr vs 13.65%/yr for ^GSPC. At a correlation of -0.60, they often move in opposite directions.

Performance

^VVIX vs. ^GSPC - Performance Comparison

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

Loading charts...

Returns By Period

In the year-to-date period, ^VVIX achieves a -7.47% return, which is significantly lower than ^GSPC's 10.79% return. Over the past 10 years, ^VVIX has underperformed ^GSPC with an annualized return of 0.61%, while ^GSPC has yielded a comparatively higher 13.65% annualized return.

^VVIX

1D
-4.51%
1M
-9.98%
YTD
-7.47%
6M
-6.06%
1Y
-5.55%
3Y*
-0.01%
5Y*
-4.54%
10Y*
0.61%

^GSPC

1D
0.41%
1M
4.48%
YTD
10.79%
6M
10.60%
1Y
27.02%
3Y*
21.07%
5Y*
12.39%
10Y*
13.65%
*Multi-year figures are annualized to reflect compound growth (CAGR)

^VVIX vs. ^GSPC - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
^VVIX
CBOE VIX Volatility Index		-7.47%-11.18%19.97%12.86%-29.74%-1.96%18.87%8.02%-13.55%10.00%
^GSPC
S&P 500 Index		10.79%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 -0.66, 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

-0.66

Correlation (3Y)
Calculated over the trailing 3-year period

-0.66

Correlation (5Y)
Calculated over the trailing 5-year period

-0.65

Correlation (10Y)
Calculated over the trailing 10-year period

-0.63

Correlation (All Time)
Calculated using the full available price history since Mar 7, 2006

-0.60

The correlation between ^VVIX and ^GSPC has been stable across timeframes, ranging from -0.66 to -0.60 - a consistent structural relationship.

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

CBOE VIX Volatility Index

S&P 500 Index

Often compared with ^VVIX:
^VVIX vs. QQQ^VVIX vs. VXX^VVIX vs. ^VXN^VVIX vs. VIXY^VVIX vs. SPY^VVIX vs. ETH-USD^VVIX vs. XXXX
Often compared with ^GSPC:
^GSPC vs. ^IBEX^GSPC vs. AVGO^GSPC vs. SCHD^GSPC vs. GC=F^GSPC vs. TSMU^GSPC vs. QQQ^GSPC vs. ACWI

Return for Risk

^VVIX vs. ^GSPC — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
^VVIX
^VVIX Risk / Return Rank: 1414
Overall Rank
^VVIX Sharpe Ratio Rank: 1010
Sharpe Ratio Rank
^VVIX Sortino Ratio Rank: 2222
Sortino Ratio Rank
^VVIX Omega Ratio Rank: 2222
Omega Ratio Rank
^VVIX Calmar Ratio Rank: 88
Calmar Ratio Rank
^VVIX Martin Ratio Rank: 99
Martin Ratio Rank
^GSPC
^GSPC Risk / Return Rank: 8080
Overall Rank
^GSPC Sharpe Ratio Rank: 7979
Sharpe Ratio Rank
^GSPC Sortino Ratio Rank: 7979
Sortino Ratio Rank
^GSPC Omega Ratio Rank: 7979
Omega Ratio Rank
^GSPC Calmar Ratio Rank: 7676
Calmar Ratio Rank
^GSPC Martin Ratio Rank: 8686
Martin Ratio Rank
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.

^VVIX vs. ^GSPC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for CBOE VIX Volatility 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.

^VVIX^GSPCDifference
Sharpe ratioReturn per unit of total volatility
-0.07
2.28

-2.35

Sortino ratioReturn per unit of downside risk
0.51
3.12

-2.62

Omega ratioGain probability vs. loss probability

1.06

1.41

-0.35

Calmar ratioReturn relative to maximum drawdown

-0.14

2.98

-3.12

Martin ratioReturn relative to average drawdown

-0.24

13.78

-14.02

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^VVIX vs. ^GSPC - Sharpe Ratio Comparison

The current ^VVIX Sharpe Ratio is -0.07, which is lower than the ^GSPC Sharpe Ratio of 2.28. The chart below compares the historical Sharpe Ratios of ^VVIX and ^GSPC, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Loading charts...

Sharpe Ratios by Period

^VVIX^GSPCDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

-0.07

2.28

-2.35

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

-0.05

0.74

-0.79

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.01

0.76

-0.75

Sharpe Ratio (All Time)

Calculated using the full available price history

0.01

0.47

-0.46

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.

Loading charts...

Drawdown Indicators

^VVIX^GSPCDifference

Max Drawdown

Largest peak-to-trough decline

-78.10%

-56.78%

-21.32%

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 Drawdown

Current decline from peak

-58.69%

-0.33%

-58.36%

Average Drawdown

Average peak-to-trough decline

-43.41%

-10.72%

-32.69%

Ulcer Index

Depth and duration of drawdowns from previous peaks

23.20%

1.97%

+21.23%

Volatility

^VVIX vs. ^GSPC - Volatility Comparison

CBOE VIX Volatility Index (^VVIX) has a higher volatility of 12.53% compared to S&P 500 Index (^GSPC) at 2.88%. 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.

Loading charts...

Volatility by Period

^VVIX^GSPCDifference

Volatility (1M)

Calculated over the trailing 1-month period

12.53%

2.88%

+9.65%

Volatility (6M)

Calculated over the trailing 6-month period

59.37%

9.00%

+50.37%

Volatility (1Y)

Calculated over the trailing 1-year period

82.86%

11.89%

+70.97%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

87.13%

16.90%

+70.23%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

85.80%

18.06%

+67.74%

Frequently Asked Questions

^VVIX and ^GSPC have a correlation of -0.66, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

^VVIX has higher volatility (12.53%) compared to ^GSPC (2.88%). In terms of maximum drawdown, ^VVIX dropped -78.10% vs ^GSPC's -56.78%.

^GSPC currently has the higher Sharpe Ratio (2.28 vs -0.07), 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.

Portfolio Optimizer

Find the right allocation for ^VVIX and ^GSPC

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer