^VVIX vs. ^VXN

Last updated Jun 4, 2026

^VVIX (CBOE VIX Volatility Index) and ^VXN (CBOE NASDAQ 100 Voltility Index) are both indexes. Over the past 10 years, ^VVIX returned 1.28%/yr vs 4.47%/yr for ^VXN. A 0.68 correlation means they provide meaningful diversification when combined.

Performance

^VVIX vs. ^VXN - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in CBOE VIX Volatility Index (^VVIX) and CBOE NASDAQ 100 Voltility Index (^VXN). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ^VVIX achieves a -3.10% return, which is significantly lower than ^VXN's 18.97% return. Over the past 10 years, ^VVIX has underperformed ^VXN with an annualized return of 1.28%, while ^VXN has yielded a comparatively higher 4.47% annualized return.

^VVIX

• 1D: -0.81%
• 1M: -8.64%
• YTD: -3.10%
• 6M: -2.80%
• 1Y: -1.20%
• 3Y*: 1.39%
• 5Y*: -3.65%
• 10Y*: 1.28%

^VXN

• 1D: 0.39%
• 1M: 1.00%
• YTD: 18.97%
• 6M: 12.69%
• 1Y: 24.17%
• 3Y*: 6.45%
• 5Y*: 0.02%
• 10Y*: 4.47%

*Multi-year figures are annualized to reflect compound growth (CAGR)

^VVIX vs. ^VXN - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^VVIX CBOE VIX Volatility Index	-3.10%	-11.18%	19.97%	12.86%	-29.74%	-1.96%	18.87%	8.02%	-13.55%	10.00%
^VXN CBOE NASDAQ 100 Voltility Index	18.97%	-1.81%	22.96%	-41.30%	30.19%	-21.28%	59.44%	-46.28%	100.51%	-6.00%

Correlation

The correlation between ^VVIX and ^VXN is 0.82, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.82
Correlation (3Y) Calculated over the trailing 3-year period	0.79
Correlation (5Y) Calculated over the trailing 5-year period	0.78
Correlation (10Y) Calculated over the trailing 10-year period	0.74
Correlation (All Time) Calculated using the full available price history since Mar 7, 2006	0.68

The correlation between ^VVIX and ^VXN shifts across timeframes, from 0.68 (all time) to 0.82 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

^VVIX vs. ^VXN — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^VVIX

^VVIX Risk / Return Rank: 15
^VVIX Sharpe Ratio Rank: 11
^VVIX Sortino Ratio Rank: 22
^VVIX Omega Ratio Rank: 22
^VVIX Calmar Ratio Rank: 10
^VVIX Martin Ratio Rank: 11

^VXN

^VXN Risk / Return Rank: 26
^VXN Sharpe Ratio Rank: 19
^VXN Sortino Ratio Rank: 33
^VXN Omega Ratio Rank: 32
^VXN Calmar Ratio Rank: 24
^VXN Martin Ratio Rank: 23

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. ^VXN - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for CBOE VIX Volatility Index (^VVIX) and CBOE NASDAQ 100 Voltility Index (^VXN). 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	^VXN	Difference
Sharpe ratio Return per unit of total volatility	-0.01	0.21	-0.22
Sortino ratio Return per unit of downside risk	0.59	1.04	-0.45
Omega ratio Gain probability vs. loss probability	1.07	1.12	-0.05
Calmar ratio Return relative to maximum drawdown	-0.03	0.42	-0.45
Martin ratio Return relative to average drawdown	-0.05	0.79	-0.84
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. ^VXN - Sharpe Ratio Comparison

The current ^VVIX Sharpe Ratio is -0.01, which is lower than the ^VXN Sharpe Ratio of 0.21. The chart below compares the historical Sharpe Ratios of ^VVIX and ^VXN, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	^VVIX	^VXN	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.01	0.21	-0.22
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.04	0.00	-0.04
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.01	0.04	-0.03
Sharpe Ratio (All Time) Calculated using the full available price history	0.01	-0.04	+0.05

Drawdowns

^VVIX vs. ^VXN - Drawdown Comparison

The maximum ^VVIX drawdown since its inception was -78.10%, smaller than the maximum ^VXN drawdown of -87.50%. Use the drawdown chart below to compare losses from any high point for ^VVIX and ^VXN.

Drawdown Indicators

	^VVIX	^VXN	Difference
Max Drawdown Largest peak-to-trough decline	-78.10%	-87.50%	+9.40%
Max Drawdown (1Y) Largest decline over 1 year	-38.94%	-47.43%	+8.49%
Max Drawdown (3Y) Largest decline over 3 years	-52.75%	-61.32%	+8.57%
Max Drawdown (5Y) Largest decline over 5 years	-53.07%	-72.97%	+19.90%
Max Drawdown (10Y) Largest decline over 10 years	-64.71%	-86.01%	+21.30%
Current Drawdown Current decline from peak	-56.74%	-71.79%	+15.05%
Average Drawdown Average peak-to-trough decline	-43.41%	-69.40%	+25.99%
Ulcer Index Depth and duration of drawdowns from previous peaks	23.07%	25.05%	-1.98%

Volatility

^VVIX vs. ^VXN - Volatility Comparison

The current volatility for CBOE VIX Volatility Index (^VVIX) is 12.10%, while CBOE NASDAQ 100 Voltility Index (^VXN) has a volatility of 14.48%. This indicates that ^VVIX experiences smaller price fluctuations and is considered to be less risky than ^VXN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^VVIX	^VXN	Difference
Volatility (1M) Calculated over the trailing 1-month period	12.10%	14.48%	-2.38%
Volatility (6M) Calculated over the trailing 6-month period	59.20%	69.44%	-10.24%
Volatility (1Y) Calculated over the trailing 1-year period	82.74%	96.75%	-14.01%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	87.14%	97.25%	-10.11%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	85.81%	108.72%	-22.91%

Frequently Asked Questions

Can I hold both ^VVIX and ^VXN in my portfolio?

^VVIX and ^VXN have a correlation of 0.82, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ^VVIX or ^VXN?

^VXN has higher volatility (14.48%) compared to ^VVIX (12.10%). In terms of maximum drawdown, ^VVIX dropped -78.10% vs ^VXN's -87.50%.

Which has better risk-adjusted returns?

^VXN currently has the higher Sharpe Ratio (0.21 vs -0.01), 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.