^VVIX vs. SPY

Last updated Jun 4, 2026

^VVIX (CBOE VIX Volatility 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 1.28%/yr vs 15.49%/yr for SPY. At a correlation of -0.60, they often move in opposite directions.

Performance

^VVIX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in CBOE VIX Volatility Index (^VVIX) and State Street SPDR S&P 500 ETF (SPY). 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 SPY's 10.91% return. Over the past 10 years, ^VVIX has underperformed SPY with an annualized return of 1.28%, while SPY has yielded a comparatively higher 15.49% 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%

SPY

• 1D: -0.70%
• 1M: 5.05%
• YTD: 10.91%
• 6M: 10.91%
• 1Y: 27.98%
• 3Y*: 22.35%
• 5Y*: 13.83%
• 10Y*: 15.49%

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

^VVIX vs. SPY - 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%
SPY State Street SPDR S&P 500 ETF	10.91%	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 -0.65, 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	-0.65
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	-0.62
Correlation (All Time) Calculated using the full available price history since Mar 7, 2006	-0.60

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

Return for Risk

^VVIX vs. SPY — 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

SPY

SPY Risk / Return Rank: 70
SPY Sharpe Ratio Rank: 71
SPY Sortino Ratio Rank: 69
SPY Omega Ratio Rank: 70
SPY Calmar Ratio Rank: 62
SPY Martin Ratio Rank: 75

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. SPY - Risk-Adjusted Trends Comparison

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

	^VVIX	SPY	Difference
Sharpe ratio Return per unit of total volatility	-0.01	2.38	-2.39
Sortino ratio Return per unit of downside risk	0.59	3.24	-2.65
Omega ratio Gain probability vs. loss probability	1.07	1.43	-0.36
Calmar ratio Return relative to maximum drawdown	-0.03	3.16	-3.19
Martin ratio Return relative to average drawdown	-0.05	14.72	-14.77
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. SPY - Sharpe Ratio Comparison

The current ^VVIX Sharpe Ratio is -0.01, which is lower than the SPY Sharpe Ratio of 2.38. The chart below compares the historical Sharpe Ratios of ^VVIX and SPY, 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	SPY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.01	2.38	-2.39
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.04	0.82	-0.86
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.01	0.87	-0.85
Sharpe Ratio (All Time) Calculated using the full available price history	0.01	0.59	-0.57

Drawdowns

^VVIX vs. SPY - Drawdown Comparison

The maximum ^VVIX drawdown since its inception was -78.10%, 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.

Drawdown Indicators

	^VVIX	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-78.10%	-55.19%	-22.91%
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 Drawdown Current decline from peak	-56.74%	-0.70%	-56.04%
Average Drawdown Average peak-to-trough decline	-43.41%	-9.05%	-34.36%
Ulcer Index Depth and duration of drawdowns from previous peaks	23.07%	1.91%	+21.16%

Volatility

^VVIX vs. SPY - Volatility Comparison

CBOE VIX Volatility Index (^VVIX) has a higher volatility of 12.10% compared to State Street SPDR S&P 500 ETF (SPY) at 2.84%. 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.

Volatility by Period

	^VVIX	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	12.10%	2.84%	+9.26%
Volatility (6M) Calculated over the trailing 6-month period	59.20%	8.90%	+50.30%
Volatility (1Y) Calculated over the trailing 1-year period	82.74%	11.83%	+70.91%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	87.14%	17.05%	+70.09%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	85.81%	17.94%	+67.87%

Frequently Asked Questions

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

^VVIX and SPY have a correlation of -0.65, 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 SPY?

^VVIX has higher volatility (12.10%) compared to SPY (2.84%). In terms of maximum drawdown, ^VVIX dropped -78.10% vs SPY's -55.19%.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (2.38 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.