^VXN vs. ^IXIC
^VXN (CBOE NASDAQ 100 Voltility Index) and ^IXIC (NASDAQ Composite) are both indexes. Over the past 10 years, ^VXN returned 2.67%/yr vs 18.45%/yr for ^IXIC. At a correlation of -0.72, they often move in opposite directions.
Performance
^VXN vs. ^IXIC - Performance Comparison
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Returns By Period
In the year-to-date period, ^VXN achieves a 65.49% return, which is significantly higher than ^IXIC's 10.09% return. Over the past 10 years, ^VXN has underperformed ^IXIC with an annualized return of 2.67%, while ^IXIC has yielded a comparatively higher 18.45% annualized return.
^VXN
- 1D
- 16.99%
- 1M
- 41.85%
- YTD
- 65.49%
- 6M
- 85.29%
- 1Y
- 53.05%
- 3Y*
- 18.83%
- 5Y*
- 10.55%
- 10Y*
- 2.67%
^IXIC
- 1D
- -2.21%
- 1M
- -2.87%
- YTD
- 10.09%
- 6M
- 8.60%
- 1Y
- 30.34%
- 3Y*
- 23.78%
- 5Y*
- 12.23%
- 10Y*
- 18.45%
^VXN vs. ^IXIC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^VXN CBOE NASDAQ 100 Voltility Index | 65.49% | -1.81% | 22.96% | -41.30% | 30.19% | -21.28% | 59.44% | -46.28% | 100.51% | -6.00% |
^IXIC NASDAQ Composite | 10.09% | 20.36% | 28.64% | 43.42% | -33.10% | 21.39% | 43.64% | 35.23% | -3.88% | 28.24% |
Correlation
The correlation between ^VXN and ^IXIC is -0.73, 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 | -0.73 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.72 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.72 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.72 |
Correlation (All Time) Calculated using the full available price history since Jan 23, 2001 | -0.72 |
The correlation between ^VXN and ^IXIC has been stable across timeframes, ranging from -0.73 to -0.72 - a consistent structural relationship.
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Return for Risk
^VXN vs. ^IXIC — Risk / Return Rank
^VXN
^IXIC
^VXN vs. ^IXIC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for CBOE NASDAQ 100 Voltility Index (^VXN) and NASDAQ Composite (^IXIC). 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.
| ^VXN | ^IXIC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.22 | ||
| Sortino ratioReturn per unit of downside risk | -0.83 | ||
| Omega ratioGain probability vs. loss probability | 1.17 | 1.30 | -0.13 |
| Calmar ratioReturn relative to maximum drawdown | 1.12 | 2.31 | -1.18 |
| Martin ratioReturn relative to average drawdown | 2.22 | 8.65 | -6.44 |
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Drawdowns
^VXN vs. ^IXIC - Drawdown Comparison
The maximum ^VXN drawdown since its inception was -87.50%, which is greater than ^IXIC's maximum drawdown of -77.93%. Use the drawdown chart below to compare losses from any high point for ^VXN and ^IXIC.
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Drawdown Indicators
| ^VXN | ^IXIC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -87.50% | -77.93% | -9.57% |
Max Drawdown (1Y)Largest decline over 1 year | -47.43% | -13.21% | -34.22% |
Max Drawdown (3Y)Largest decline over 3 years | -61.32% | -24.32% | -37.00% |
Max Drawdown (5Y)Largest decline over 5 years | -67.20% | -36.40% | -30.80% |
Max Drawdown (10Y)Largest decline over 10 years | -83.03% | -36.40% | -46.63% |
Current DrawdownCurrent decline from peak | -60.76% | -5.56% | -55.20% |
Average DrawdownAverage peak-to-trough decline | -69.39% | -21.38% | -48.01% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 24.10% | 3.51% | +20.59% |
Volatility
^VXN vs. ^IXIC - Volatility Comparison
CBOE NASDAQ 100 Voltility Index (^VXN) has a higher volatility of 41.32% compared to NASDAQ Composite (^IXIC) at 7.66%. This indicates that ^VXN's price experiences larger fluctuations and is considered to be riskier than ^IXIC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^VXN | ^IXIC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 41.32% | 7.66% | +33.66% |
Volatility (6M)Calculated over the trailing 6-month period | 78.01% | 13.86% | +64.15% |
Volatility (1Y)Calculated over the trailing 1-year period | 103.48% | 17.59% | +85.89% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 94.21% | 22.65% | +71.56% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 106.58% | 22.08% | +84.50% |
Frequently Asked Questions
^VXN and ^IXIC have a correlation of -0.73, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^VXN has higher volatility (41.32%) compared to ^IXIC (7.66%). In terms of maximum drawdown, ^VXN dropped -87.50% vs ^IXIC's -77.93%.
^IXIC currently has the higher Sharpe Ratio (1.73 vs 0.52), 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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