^VXN vs. ^VIX
^VXN (CBOE NASDAQ 100 Voltility Index) and ^VIX (CBOE Volatility Index) are both indexes. Over the past 10 years, ^VXN returned 7.16%/yr vs 4.35%/yr for ^VIX. Their correlation of 0.86 suggests significant overlap in exposure.
Performance
^VXN vs. ^VIX - Performance Comparison
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Returns By Period
In the year-to-date period, ^VXN achieves a 55.78% return, which is significantly higher than ^VIX's 43.88% return. Over the past 10 years, ^VXN has outperformed ^VIX with an annualized return of 7.16%, while ^VIX has yielded a comparatively lower 4.35% annualized return.
^VXN
- 1D
- 31.22%
- 1M
- 31.62%
- YTD
- 55.78%
- 6M
- 55.30%
- 1Y
- 53.81%
- 3Y*
- 18.01%
- 5Y*
- 7.50%
- 10Y*
- 7.16%
^VIX
- 1D
- 39.68%
- 1M
- 25.94%
- YTD
- 43.88%
- 6M
- 39.58%
- 1Y
- 28.26%
- 3Y*
- 15.50%
- 5Y*
- 5.55%
- 10Y*
- 4.35%
^VXN vs. ^VIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^VXN CBOE NASDAQ 100 Voltility Index | 55.78% | -1.81% | 22.96% | -41.30% | 30.19% | -21.28% | 59.44% | -46.28% | 100.51% | -6.00% |
^VIX CBOE Volatility Index | 43.88% | -13.83% | 39.36% | -42.55% | 25.84% | -24.31% | 65.09% | -45.79% | 130.25% | -21.37% |
Correlation
The correlation between ^VXN and ^VIX is 0.95 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.95 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.94 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.94 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.90 |
Correlation (All Time) Calculated using the full available price history since Jan 24, 2001 | 0.86 |
The correlation between ^VXN and ^VIX has been stable across timeframes, ranging from 0.86 to 0.95 - a consistent structural relationship.
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Return for Risk
^VXN vs. ^VIX — Risk / Return Rank
^VXN
^VIX
^VXN vs. ^VIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for CBOE NASDAQ 100 Voltility Index (^VXN) and CBOE Volatility Index (^VIX). 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.
| ^VXN | ^VIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.28 | ||
| Sortino ratioReturn per unit of downside risk | +0.18 | ||
| Omega ratioGain probability vs. loss probability | 1.16 | 1.14 | +0.02 |
| Calmar ratioReturn relative to maximum drawdown | 0.89 | 0.32 | +0.56 |
| Martin ratioReturn relative to average drawdown | 1.67 | 0.53 | +1.14 |
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
| ^VXN | ^VIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.42 | 0.13 | +0.28 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.08 | 0.04 | +0.04 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.07 | 0.03 | +0.04 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.03 | 0.01 | -0.03 |
Drawdowns
^VXN vs. ^VIX - Drawdown Comparison
The maximum ^VXN drawdown since its inception was -87.50%, roughly equal to the maximum ^VIX drawdown of -88.70%. Use the drawdown chart below to compare losses from any high point for ^VXN and ^VIX.
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Drawdown Indicators
| ^VXN | ^VIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -87.50% | -88.70% | +1.20% |
Max Drawdown (1Y)Largest decline over 1 year | -47.43% | -50.66% | +3.23% |
Max Drawdown (3Y)Largest decline over 3 years | -61.32% | -74.26% | +12.94% |
Max Drawdown (5Y)Largest decline over 5 years | -67.20% | -74.26% | +7.06% |
Max Drawdown (10Y)Largest decline over 10 years | -83.03% | -85.66% | +2.63% |
Current DrawdownCurrent decline from peak | -63.06% | -73.99% | +10.93% |
Average DrawdownAverage peak-to-trough decline | -69.40% | -64.06% | -5.34% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 25.20% | 31.08% | -5.88% |
Volatility
^VXN vs. ^VIX - Volatility Comparison
The current volatility for CBOE NASDAQ 100 Voltility Index (^VXN) is 30.16%, while CBOE Volatility Index (^VIX) has a volatility of 37.34%. This indicates that ^VXN experiences smaller price fluctuations and is considered to be less risky than ^VIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^VXN | ^VIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 30.16% | 37.34% | -7.18% |
Volatility (6M)Calculated over the trailing 6-month period | 74.35% | 87.29% | -12.94% |
Volatility (1Y)Calculated over the trailing 1-year period | 101.32% | 122.25% | -20.93% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 93.54% | 127.40% | -33.86% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 107.10% | 137.59% | -30.49% |
Frequently Asked Questions
With a correlation of 0.95, ^VXN and ^VIX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
^VIX has higher volatility (37.34%) compared to ^VXN (30.16%). In terms of maximum drawdown, ^VXN dropped -87.50% vs ^VIX's -88.70%.
^VXN currently has the higher Sharpe Ratio (0.42 vs 0.13), 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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