^VVIX vs. QQQ
^VVIX (CBOE VIX Volatility Index) is an index, while QQQ (Invesco QQQ ETF) is Nasdaq-100 fund tracking the NASDAQ-100 Index. Over the past 10 years, ^VVIX returned 1.28%/yr vs 21.94%/yr for QQQ. At a correlation of -0.56, they often move in opposite directions.
Performance
^VVIX vs. QQQ - Performance Comparison
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Returns By Period
In the year-to-date period, ^VVIX achieves a -3.10% return, which is significantly lower than QQQ's 21.30% return. Over the past 10 years, ^VVIX has underperformed QQQ with an annualized return of 1.28%, while QQQ has yielded a comparatively higher 21.94% 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%
QQQ
- 1D
- -0.26%
- 1M
- 10.60%
- YTD
- 21.30%
- 6M
- 19.66%
- 1Y
- 41.82%
- 3Y*
- 28.78%
- 5Y*
- 17.97%
- 10Y*
- 21.94%
^VVIX vs. QQQ - 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% |
QQQ Invesco QQQ ETF | 21.30% | 20.77% | 25.58% | 54.86% | -32.58% | 27.42% | 48.62% | 38.96% | -0.13% | 32.66% |
Correlation
The correlation between ^VVIX and QQQ is -0.61, 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 | -0.61 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.60 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.59 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.58 |
Correlation (All Time) Calculated using the full available price history since Mar 7, 2006 | -0.56 |
The correlation between ^VVIX and QQQ has been stable across timeframes, ranging from -0.61 to -0.56 - a consistent structural relationship.
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Return for Risk
^VVIX vs. QQQ — Risk / Return Rank
^VVIX
QQQ
^VVIX vs. QQQ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for CBOE VIX Volatility Index (^VVIX) and Invesco QQQ ETF (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.
| ^VVIX | QQQ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.65 | ||
| Sortino ratioReturn per unit of downside risk | -2.86 | ||
| Omega ratioGain probability vs. loss probability | 1.07 | 1.45 | -0.38 |
| Calmar ratioReturn relative to maximum drawdown | -0.03 | 3.51 | -3.54 |
| Martin ratioReturn relative to average drawdown | -0.05 | 13.49 | -13.54 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ^VVIX | QQQ | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.01 | 2.64 | -2.65 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.04 | 0.81 | -0.85 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.01 | 0.99 | -0.97 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.01 | 0.41 | -0.40 |
Drawdowns
^VVIX vs. QQQ - Drawdown Comparison
The maximum ^VVIX drawdown since its inception was -78.10%, smaller than the maximum QQQ drawdown of -82.97%. Use the drawdown chart below to compare losses from any high point for ^VVIX and QQQ.
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Drawdown Indicators
| ^VVIX | QQQ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -78.10% | -82.97% | +4.87% |
Max Drawdown (1Y)Largest decline over 1 year | -38.94% | -11.96% | -26.98% |
Max Drawdown (3Y)Largest decline over 3 years | -52.75% | -22.77% | -29.98% |
Max Drawdown (5Y)Largest decline over 5 years | -53.07% | -35.12% | -17.95% |
Max Drawdown (10Y)Largest decline over 10 years | -64.71% | -35.12% | -29.59% |
Current DrawdownCurrent decline from peak | -56.74% | -0.26% | -56.48% |
Average DrawdownAverage peak-to-trough decline | -43.41% | -32.79% | -10.62% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 23.07% | 3.11% | +19.96% |
Volatility
^VVIX vs. QQQ - Volatility Comparison
CBOE VIX Volatility Index (^VVIX) has a higher volatility of 12.10% compared to Invesco QQQ ETF (QQQ) at 4.49%. 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.
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Volatility by Period
| ^VVIX | QQQ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 12.10% | 4.49% | +7.61% |
Volatility (6M)Calculated over the trailing 6-month period | 59.20% | 12.10% | +47.10% |
Volatility (1Y)Calculated over the trailing 1-year period | 82.74% | 15.94% | +66.80% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 87.14% | 22.38% | +64.76% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 85.81% | 22.29% | +63.52% |
Frequently Asked Questions
^VVIX and QQQ have a correlation of -0.61, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^VVIX has higher volatility (12.10%) compared to QQQ (4.49%). In terms of maximum drawdown, ^VVIX dropped -78.10% vs QQQ's -82.97%.
QQQ currently has the higher Sharpe Ratio (2.64 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.
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