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^VVIX vs. QQQ
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^VVIX and QQQ is 0.89, 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.


-0.50.00.51.0
Correlation: 0.9

Performance

^VVIX vs. QQQ - Performance Comparison

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

0.00%500.00%1,000.00%1,500.00%NovemberDecember2025FebruaryMarchApril
37.95%
1,237.16%
^VVIX
QQQ

Key characteristics

Sharpe Ratio

^VVIX:

0.23

QQQ:

0.47

Sortino Ratio

^VVIX:

1.28

QQQ:

0.82

Omega Ratio

^VVIX:

1.15

QQQ:

1.11

Calmar Ratio

^VVIX:

0.40

QQQ:

0.52

Martin Ratio

^VVIX:

0.77

QQQ:

1.79

Ulcer Index

^VVIX:

33.68%

QQQ:

6.64%

Daily Std Dev

^VVIX:

113.25%

QQQ:

25.28%

Max Drawdown

^VVIX:

-78.10%

QQQ:

-82.98%

Current Drawdown

^VVIX:

-52.33%

QQQ:

-12.28%

Returns By Period

In the year-to-date period, ^VVIX achieves a -5.16% return, which is significantly higher than QQQ's -7.43% return. Over the past 10 years, ^VVIX has underperformed QQQ with an annualized return of 1.86%, while QQQ has yielded a comparatively higher 16.72% annualized return.


^VVIX

YTD

-5.16%

1M

10.55%

6M

-15.79%

1Y

24.37%

5Y*

-3.85%

10Y*

1.86%

QQQ

YTD

-7.43%

1M

-1.88%

6M

-4.30%

1Y

10.31%

5Y*

17.80%

10Y*

16.72%

*Annualized

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Risk-Adjusted Performance

^VVIX vs. QQQ — Risk-Adjusted Performance Rank

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

^VVIX
The Risk-Adjusted Performance Rank of ^VVIX is 6262
Overall Rank
The Sharpe Ratio Rank of ^VVIX is 4141
Sharpe Ratio Rank
The Sortino Ratio Rank of ^VVIX is 8585
Sortino Ratio Rank
The Omega Ratio Rank of ^VVIX is 8282
Omega Ratio Rank
The Calmar Ratio Rank of ^VVIX is 6161
Calmar Ratio Rank
The Martin Ratio Rank of ^VVIX is 4343
Martin Ratio Rank

QQQ
The Risk-Adjusted Performance Rank of QQQ is 5959
Overall Rank
The Sharpe Ratio Rank of QQQ is 5656
Sharpe Ratio Rank
The Sortino Ratio Rank of QQQ is 5959
Sortino Ratio Rank
The Omega Ratio Rank of QQQ is 5959
Omega Ratio Rank
The Calmar Ratio Rank of QQQ is 6565
Calmar Ratio Rank
The Martin Ratio Rank of QQQ is 5757
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

^VVIX vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for CBOE VIX Volatility Index (^VVIX) and Invesco QQQ (QQQ). 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 chart of Sharpe ratio for ^VVIX, currently valued at 0.23, compared to the broader market-0.500.000.501.001.50
^VVIX: 0.23
QQQ: 0.45
The chart of Sortino ratio for ^VVIX, currently valued at 1.28, compared to the broader market-1.00-0.500.000.501.001.502.00
^VVIX: 1.28
QQQ: 0.80
The chart of Omega ratio for ^VVIX, currently valued at 1.15, compared to the broader market0.901.001.101.201.30
^VVIX: 1.15
QQQ: 1.11
The chart of Calmar ratio for ^VVIX, currently valued at 0.40, compared to the broader market-0.500.000.501.00
^VVIX: 0.40
QQQ: 0.50
The chart of Martin ratio for ^VVIX, currently valued at 0.77, compared to the broader market0.002.004.006.00
^VVIX: 0.77
QQQ: 1.70

The current ^VVIX Sharpe Ratio is 0.23, which is lower than the QQQ Sharpe Ratio of 0.47. The chart below compares the historical Sharpe Ratios of ^VVIX and QQQ, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00NovemberDecember2025FebruaryMarchApril
0.23
0.45
^VVIX
QQQ

Drawdowns

^VVIX vs. QQQ - Drawdown Comparison

The maximum ^VVIX drawdown since its inception was -78.10%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for ^VVIX and QQQ. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2025FebruaryMarchApril
-52.33%
-12.28%
^VVIX
QQQ

Volatility

^VVIX vs. QQQ - Volatility Comparison

CBOE VIX Volatility Index (^VVIX) has a higher volatility of 48.56% compared to Invesco QQQ (QQQ) at 16.86%. This indicates that ^VVIX's price experiences larger fluctuations and is considered to be riskier than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%10.00%20.00%30.00%40.00%50.00%NovemberDecember2025FebruaryMarchApril
48.56%
16.86%
^VVIX
QQQ