^VXN vs. ^VVIX
^VXN (Cboe Nasdaq-100 Volatility Index) and ^VVIX (Cboe VVIX Index) are both indexes. Over the past 10 years, ^VXN returned 6.05%/yr vs 0.64%/yr for ^VVIX. Their 0.70 correlation means they have sometimes moved together and sometimes differently.
Performance
^VXN vs. ^VVIX - Performance Comparison
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Returns By Period
In the year-to-date period, ^VXN achieves a 26.64% return, which is significantly higher than ^VVIX's -2.01% return. Over the past 10 years, ^VXN has outperformed ^VVIX with an annualized return of 6.05%, while ^VVIX has yielded a comparatively lower 0.64% annualized return.
^VXN
- 1D
- -4.73%
- 1M
- -11.47%
- 6M
- 16.67%
- YTD
- 26.64%
- 1Y
- 15.00%
- 3Y*
- 4.00%
- 5Y*
- 3.68%
- 10Y*
- 6.05%
- ALL TIME*
- -3.77%
^VVIX
- 1D
- -0.91%
- 1M
- 2.26%
- 6M
- -8.06%
- YTD
- -2.01%
- 1Y
- -17.29%
- 3Y*
- -3.04%
- 5Y*
- -4.81%
- 10Y*
- 0.64%
- ALL TIME*
- 0.18%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
^VVIX Cboe VVIX Index | $0.00 | $0.00 | $0.00 |
| $0.00 | $0.00 | $0.00 |
^VXN vs. ^VVIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^VXN Cboe Nasdaq-100 Volatility Index | 26.64% | -1.81% | 22.96% | -41.30% | 30.19% | -21.28% | 59.44% | -46.28% | 100.51% | -6.00% |
^VVIX Cboe VVIX Index | -2.01% | -11.18% | 19.97% | 12.86% | -29.74% | -1.96% | 18.87% | 8.02% | -13.55% | 10.00% |
Correlation
The correlation between ^VXN and ^VVIX is 0.84, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.84 |
Correlation (3Y) Balances recent behavior with more history. | 0.81 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.79 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.74 |
Correlation (All Time) Calculated using the full available price history since Jan 3, 2007 | 0.70 |
The correlation between ^VXN and ^VVIX shifts across timeframes, from 0.70 (all time) to 0.84 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
^VXN vs. ^VVIX — Risk / Return Rank
^VXN
^VVIX
^VXN vs. ^VVIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Cboe Nasdaq-100 Volatility Index (^VXN) and Cboe VVIX Index (^VVIX). 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 | ^VVIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.34 | ||
| Sortino ratioReturn per unit of downside risk | +0.69 | ||
| Omega ratioGain probability vs. loss probability | 1.12 | 1.04 | +0.08 |
| Calmar ratioReturn relative to maximum drawdown | 0.32 | -0.45 | +0.76 |
| Martin ratioReturn relative to average drawdown | 0.62 | -0.70 | +1.32 |
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Drawdowns
^VXN vs. ^VVIX - Drawdown Comparison
The maximum ^VXN drawdown since its inception was -87.50%, which is greater than ^VVIX's maximum drawdown of -64.71%. Use the drawdown chart below to compare losses from any high point for ^VXN and ^VVIX.
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Drawdown Indicators
| ^VXN | ^VVIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -87.50% | -64.71% | -22.79% |
Max Drawdown (1Y)Largest decline over 1 year | -47.43% | -38.94% | -8.49% |
Max Drawdown (3Y)Largest decline over 3 years | -61.32% | -52.75% | -8.57% |
Max Drawdown (5Y)Largest decline over 5 years | -67.20% | -53.07% | -14.13% |
Max Drawdown (10Y)Largest decline over 10 years | -83.03% | -64.71% | -18.32% |
Current DrawdownCurrent decline from peak | -69.97% | -56.26% | -13.71% |
Average DrawdownAverage peak-to-trough decline | -69.38% | -44.01% | -25.37% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 24.53% | 25.11% | -0.58% |
Volatility
^VXN vs. ^VVIX - Volatility Comparison
Cboe Nasdaq-100 Volatility Index (^VXN) and Cboe VVIX Index (^VVIX) have volatilities of 25.06% and 25.87%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^VXN | ^VVIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 25.06% | 25.87% | -0.81% |
Volatility (6M)Calculated over the trailing 6-month period | 77.31% | 64.53% | +12.78% |
Volatility (1Y)Calculated over the trailing 1-year period | 104.43% | 88.43% | +16.00% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 93.92% | 88.42% | +5.50% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 106.54% | 86.30% | +20.24% |
Frequently Asked Questions
^VXN and ^VVIX have a correlation of 0.84, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^VVIX has higher volatility (25.87%) compared to ^VXN (25.06%). In terms of maximum drawdown, ^VXN dropped -87.50% vs ^VVIX's -64.71%.
^VXN currently has the higher Sharpe Ratio (0.14 vs -0.20), 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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