^VXN vs. ^VVIX

Last updated Jun 4, 2026

^VXN (CBOE NASDAQ 100 Voltility Index) and ^VVIX (CBOE VIX Volatility Index) are both indexes. Over the past 10 years, ^VXN returned 4.47%/yr vs 1.28%/yr for ^VVIX. A 0.68 correlation means they provide meaningful diversification when combined.

Performance

^VXN vs. ^VVIX - Performance Comparison

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

Returns By Period

In the year-to-date period, ^VXN achieves a 18.97% return, which is significantly higher than ^VVIX's -3.10% return. Over the past 10 years, ^VXN has outperformed ^VVIX with an annualized return of 4.47%, while ^VVIX has yielded a comparatively lower 1.28% annualized return.

^VXN

• 1D: 0.39%
• 1M: 1.00%
• YTD: 18.97%
• 6M: 12.69%
• 1Y: 24.17%
• 3Y*: 6.45%
• 5Y*: 0.02%
• 10Y*: 4.47%

^VVIX

• 1D: -0.81%
• 1M: -8.64%
• YTD: -3.10%
• 6M: -2.80%
• 1Y: -1.20%
• 3Y*: 1.39%
• 5Y*: -3.65%
• 10Y*: 1.28%

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

^VXN vs. ^VVIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^VXN CBOE NASDAQ 100 Voltility Index	18.97%	-1.81%	22.96%	-41.30%	30.19%	-21.28%	59.44%	-46.28%	100.51%	-6.00%
^VVIX CBOE VIX Volatility Index	-3.10%	-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 0.82, 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	0.82
Correlation (3Y) Calculated over the trailing 3-year period	0.79
Correlation (5Y) Calculated over the trailing 5-year period	0.78
Correlation (10Y) Calculated over the trailing 10-year period	0.74
Correlation (All Time) Calculated using the full available price history since Mar 7, 2006	0.68

The correlation between ^VXN and ^VVIX shifts across timeframes, from 0.68 (all time) to 0.82 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

^VXN vs. ^VVIX — Risk / Return Rank

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

^VXN

^VXN Risk / Return Rank: 26
^VXN Sharpe Ratio Rank: 19
^VXN Sortino Ratio Rank: 33
^VXN Omega Ratio Rank: 32
^VXN Calmar Ratio Rank: 24
^VXN Martin Ratio Rank: 23

^VVIX

^VVIX Risk / Return Rank: 15
^VVIX Sharpe Ratio Rank: 11
^VVIX Sortino Ratio Rank: 22
^VVIX Omega Ratio Rank: 22
^VVIX Calmar Ratio Rank: 10
^VVIX Martin Ratio Rank: 11

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. ^VVIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for CBOE NASDAQ 100 Voltility Index (^VXN) and CBOE VIX Volatility 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.

	^VXN	^VVIX	Difference
Sharpe ratio Return per unit of total volatility	0.21	-0.01	+0.22
Sortino ratio Return per unit of downside risk	1.04	0.59	+0.45
Omega ratio Gain probability vs. loss probability	1.12	1.07	+0.05
Calmar ratio Return relative to maximum drawdown	0.42	-0.03	+0.45
Martin ratio Return relative to average drawdown	0.79	-0.05	+0.84
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^VXN vs. ^VVIX - Sharpe Ratio Comparison

The current ^VXN Sharpe Ratio is 0.21, which is higher than the ^VVIX Sharpe Ratio of -0.01. The chart below compares the historical Sharpe Ratios of ^VXN and ^VVIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	^VXN	^VVIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.21	-0.01	+0.22
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.00	-0.04	+0.04
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.04	0.01	+0.03
Sharpe Ratio (All Time) Calculated using the full available price history	-0.04	0.01	-0.05

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 -78.10%. Use the drawdown chart below to compare losses from any high point for ^VXN and ^VVIX.

Drawdown Indicators

	^VXN	^VVIX	Difference
Max Drawdown Largest peak-to-trough decline	-87.50%	-78.10%	-9.40%
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	-72.97%	-53.07%	-19.90%
Max Drawdown (10Y) Largest decline over 10 years	-86.01%	-64.71%	-21.30%
Current Drawdown Current decline from peak	-71.79%	-56.74%	-15.05%
Average Drawdown Average peak-to-trough decline	-69.40%	-43.41%	-25.99%
Ulcer Index Depth and duration of drawdowns from previous peaks	25.05%	23.07%	+1.98%

Volatility

^VXN vs. ^VVIX - Volatility Comparison

CBOE NASDAQ 100 Voltility Index (^VXN) has a higher volatility of 14.48% compared to CBOE VIX Volatility Index (^VVIX) at 12.10%. This indicates that ^VXN's price experiences larger fluctuations and is considered to be riskier than ^VVIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^VXN	^VVIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	14.48%	12.10%	+2.38%
Volatility (6M) Calculated over the trailing 6-month period	69.44%	59.20%	+10.24%
Volatility (1Y) Calculated over the trailing 1-year period	96.75%	82.74%	+14.01%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	97.25%	87.14%	+10.11%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	108.72%	85.81%	+22.91%

Frequently Asked Questions

Can I hold both ^VXN and ^VVIX in my portfolio?

^VXN and ^VVIX have a correlation of 0.82, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ^VXN or ^VVIX?

^VXN has higher volatility (14.48%) compared to ^VVIX (12.10%). In terms of maximum drawdown, ^VXN dropped -87.50% vs ^VVIX's -78.10%.

Which has better risk-adjusted returns?

^VXN currently has the higher Sharpe Ratio (0.21 vs -0.01), 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.