^VVIX vs. SPY
^VVIX (Cboe VVIX Index) is an index, while SPY (State Street SPDR S&P 500 ETF) is S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, ^VVIX returned -2.27%/yr vs 15.53%/yr for SPY. At a correlation of -0.62, they often move in opposite directions.
Performance
^VVIX vs. SPY - Performance Comparison
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Returns By Period
In the year-to-date period, ^VVIX achieves a 7.37% return, which is significantly lower than SPY's 8.15% return. Over the past 10 years, ^VVIX has underperformed SPY with an annualized return of -2.27%, while SPY has yielded a comparatively higher 15.53% annualized return.
^VVIX
- 1D
- 8.48%
- 1M
- 9.15%
- YTD
- 7.37%
- 6M
- 16.87%
- 1Y
- -4.62%
- 3Y*
- 2.52%
- 5Y*
- -1.60%
- 10Y*
- -2.27%
SPY
- 1D
- -1.45%
- 1M
- -1.36%
- YTD
- 8.15%
- 6M
- 7.20%
- 1Y
- 23.59%
- 3Y*
- 20.68%
- 5Y*
- 13.05%
- 10Y*
- 15.53%
^VVIX vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^VVIX Cboe VVIX Index | 7.37% | -11.18% | 19.97% | 12.86% | -29.74% | -1.96% | 18.87% | 8.02% | -13.55% | 10.00% |
SPY State Street SPDR S&P 500 ETF | 8.15% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -4.57% | 21.71% |
Correlation
The correlation between ^VVIX and SPY is -0.68, 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 | -0.68 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.68 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.66 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.63 |
Correlation (All Time) Calculated using the full available price history since Jan 3, 2007 | -0.62 |
The correlation between ^VVIX and SPY has been stable across timeframes, ranging from -0.68 to -0.62 - a consistent structural relationship.
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Return for Risk
^VVIX vs. SPY — Risk / Return Rank
^VVIX
SPY
^VVIX vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Cboe VVIX Index (^VVIX) and State Street SPDR S&P 500 ETF (SPY). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ^VVIX | SPY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.95 | ||
| Sortino ratioReturn per unit of downside risk | -2.02 | ||
| Omega ratioGain probability vs. loss probability | 1.07 | 1.34 | -0.28 |
| Calmar ratioReturn relative to maximum drawdown | -0.12 | 2.67 | -2.79 |
| Martin ratioReturn relative to average drawdown | -0.21 | 11.92 | -12.12 |
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Drawdowns
^VVIX vs. SPY - Drawdown Comparison
The maximum ^VVIX drawdown since its inception was -64.71%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^VVIX and SPY.
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Drawdown Indicators
| ^VVIX | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -64.71% | -55.19% | -9.52% |
Max Drawdown (1Y)Largest decline over 1 year | -38.94% | -8.88% | -30.06% |
Max Drawdown (3Y)Largest decline over 3 years | -52.75% | -18.76% | -33.99% |
Max Drawdown (5Y)Largest decline over 5 years | -53.07% | -24.50% | -28.57% |
Max Drawdown (10Y)Largest decline over 10 years | -64.71% | -33.72% | -30.99% |
Current DrawdownCurrent decline from peak | -52.07% | -3.17% | -48.90% |
Average DrawdownAverage peak-to-trough decline | -43.95% | -9.04% | -34.91% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 22.89% | 1.98% | +20.91% |
Volatility
^VVIX vs. SPY - Volatility Comparison
Cboe VVIX Index (^VVIX) has a higher volatility of 31.77% compared to State Street SPDR S&P 500 ETF (SPY) at 4.87%. This indicates that ^VVIX's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^VVIX | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 31.77% | 4.87% | +26.90% |
Volatility (6M)Calculated over the trailing 6-month period | 65.40% | 9.85% | +55.55% |
Volatility (1Y)Calculated over the trailing 1-year period | 87.12% | 12.50% | +74.62% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 88.17% | 17.15% | +71.02% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 86.12% | 17.95% | +68.17% |
Frequently Asked Questions
^VVIX and SPY have a correlation of -0.68, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^VVIX has higher volatility (31.77%) compared to SPY (4.87%). In terms of maximum drawdown, ^VVIX dropped -64.71% vs SPY's -55.19%.
SPY currently has the higher Sharpe Ratio (1.90 vs -0.05), 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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