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^VXN vs. ^VIX
Performance
Return for Risk
Drawdowns
Volatility

Performance

^VXN vs. ^VIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in CBOE NASDAQ 100 Voltility Index (^VXN) and CBOE Volatility Index (^VIX). The values are adjusted to include any dividend payments, if applicable.

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

^VXN vs. ^VIX - Yearly Performance Comparison


2026 (YTD)202520242023202220212020201920182017
^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

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^VXN
^VXN Risk / Return Rank: 3434
Overall Rank
^VXN Sharpe Ratio Rank: 2727
Sharpe Ratio Rank
^VXN Sortino Ratio Rank: 3838
Sortino Ratio Rank
^VXN Omega Ratio Rank: 3838
Omega Ratio Rank
^VXN Calmar Ratio Rank: 3434
Calmar Ratio Rank
^VXN Martin Ratio Rank: 3030
Martin Ratio Rank

^VIX
^VIX Risk / Return Rank: 2727
Overall Rank
^VIX Sharpe Ratio Rank: 1818
Sharpe Ratio Rank
^VIX Sortino Ratio Rank: 3636
Sortino Ratio Rank
^VIX Omega Ratio Rank: 3636
Omega Ratio Rank
^VIX Calmar Ratio Rank: 2424
Calmar Ratio Rank
^VIX Martin Ratio Rank: 2121
Martin Ratio Rank
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.

^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^VIXDifference
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

^VXN vs. ^VIX - Sharpe Ratio Comparison

The current ^VXN Sharpe Ratio is 0.42, which is higher than the ^VIX Sharpe Ratio of 0.13. The chart below compares the historical Sharpe Ratios of ^VXN and ^VIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.


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Sharpe Ratios by Period


^VXN^VIXDifference

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^VIXDifference

Max Drawdown

Largest 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 Drawdown

Current decline from peak

-63.06%

-73.99%

+10.93%

Average Drawdown

Average peak-to-trough decline

-69.40%

-64.06%

-5.34%

Ulcer Index

Depth 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^VIXDifference

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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