^VVIX vs. VXX
^VVIX (CBOE VIX Volatility Index) is an index, while VXX (iPath Series B S&P 500 VIX Short-Term Futures ETN) is Volatility fund tracking the S&P 500 VIX Short-Term Futures Index Total Return. Over the past 10 years, ^VVIX returned 0.61%/yr vs -46.89%/yr for VXX. A 0.76 correlation means they provide meaningful diversification when combined.
Performance
^VVIX vs. VXX - Performance Comparison
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Returns By Period
In the year-to-date period, ^VVIX achieves a -7.47% return, which is significantly higher than VXX's -11.22% return. Over the past 10 years, ^VVIX has outperformed VXX with an annualized return of 0.61%, while VXX has yielded a comparatively lower -46.89% annualized return.
^VVIX
- 1D
- -4.51%
- 1M
- -9.98%
- YTD
- -7.47%
- 6M
- -6.06%
- 1Y
- -5.55%
- 3Y*
- -0.01%
- 5Y*
- -4.54%
- 10Y*
- 0.61%
VXX
- 1D
- -3.33%
- 1M
- -18.15%
- YTD
- -11.22%
- 6M
- -24.41%
- 1Y
- -54.83%
- 3Y*
- -42.32%
- 5Y*
- -46.46%
- 10Y*
- -46.89%
^VVIX vs. VXX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^VVIX CBOE VIX Volatility Index | -7.47% | -11.18% | 19.97% | 12.86% | -29.74% | -1.96% | 18.87% | 8.02% | -13.55% | 10.00% |
VXX iPath Series B S&P 500 VIX Short-Term Futures ETN | -11.22% | -42.21% | -26.22% | -72.52% | -23.80% | -72.41% | 11.04% | -67.75% | 67.91% | -72.64% |
Correlation
The correlation between ^VVIX and VXX is 0.86, 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 | 0.87 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.83 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.81 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.77 |
Correlation (All Time) Calculated using the full available price history since Feb 2, 2009 | 0.76 |
The correlation between ^VVIX and VXX shifts across timeframes, from 0.76 (all time) to 0.86 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
^VVIX vs. VXX — Risk / Return Rank
^VVIX
VXX
^VVIX vs. VXX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for CBOE VIX Volatility Index (^VVIX) and iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX). 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 | VXX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.92 | ||
| Sortino ratioReturn per unit of downside risk | +2.14 | ||
| Omega ratioGain probability vs. loss probability | 1.06 | 0.81 | +0.25 |
| Calmar ratioReturn relative to maximum drawdown | -0.14 | -0.96 | +0.82 |
| Martin ratioReturn relative to average drawdown | -0.24 | -1.37 | +1.13 |
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 | VXX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.07 | -0.99 | +0.92 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.05 | -0.69 | +0.63 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.01 | -0.66 | +0.67 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.01 | -0.77 | +0.78 |
Drawdowns
^VVIX vs. VXX - Drawdown Comparison
The maximum ^VVIX drawdown since its inception was -78.10%, smaller than the maximum VXX drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for ^VVIX and VXX.
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Drawdown Indicators
| ^VVIX | VXX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -78.10% | -100.00% | +21.90% |
Max Drawdown (1Y)Largest decline over 1 year | -38.94% | -57.39% | +18.45% |
Max Drawdown (3Y)Largest decline over 3 years | -52.75% | -79.68% | +26.93% |
Max Drawdown (5Y)Largest decline over 5 years | -53.07% | -95.79% | +42.72% |
Max Drawdown (10Y)Largest decline over 10 years | -64.71% | -99.86% | +35.15% |
Current DrawdownCurrent decline from peak | -58.69% | -100.00% | +41.31% |
Average DrawdownAverage peak-to-trough decline | -43.41% | -95.08% | +51.67% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 23.20% | 40.04% | -16.84% |
Volatility
^VVIX vs. VXX - Volatility Comparison
CBOE VIX Volatility Index (^VVIX) has a higher volatility of 12.53% compared to iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) at 8.62%. This indicates that ^VVIX's price experiences larger fluctuations and is considered to be riskier than VXX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^VVIX | VXX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 12.53% | 8.62% | +3.91% |
Volatility (6M)Calculated over the trailing 6-month period | 59.37% | 40.99% | +18.38% |
Volatility (1Y)Calculated over the trailing 1-year period | 82.86% | 55.62% | +27.24% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 87.13% | 67.94% | +19.19% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 85.80% | 70.95% | +14.85% |
Frequently Asked Questions
^VVIX and VXX have a correlation of 0.86, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^VVIX has higher volatility (12.53%) compared to VXX (8.62%). In terms of maximum drawdown, ^VVIX dropped -78.10% vs VXX's -100.00%.
^VVIX currently has the higher Sharpe Ratio (-0.07 vs -0.99), 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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