^VXN vs. ^VVIX
^VXN (CBOE NASDAQ 100 Voltility Index) and ^VVIX (Cboe VVIX Index) are both indexes. Over the past 10 years, ^VXN returned 2.67%/yr vs -2.27%/yr for ^VVIX. A 0.70 correlation means they provide meaningful diversification when combined.
Performance
^VXN vs. ^VVIX - 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 ^VVIX's 7.37% return. Over the past 10 years, ^VXN has outperformed ^VVIX with an annualized return of 2.67%, while ^VVIX has yielded a comparatively lower -2.27% 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%
^VVIX
- 1D
- 8.48%
- 1M
- 9.15%
- YTD
- 7.37%
- 6M
- 16.87%
- 1Y
- -4.62%
- 3Y*
- 2.52%
- 5Y*
- -1.60%
- 10Y*
- -2.27%
^VXN vs. ^VVIX - 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% |
^VVIX Cboe VVIX Index | 7.37% | -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 0.83, 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 | 0.83 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.81 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.79 |
Correlation (10Y) Calculated over the trailing 10-year period | 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 0.83 (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 Voltility 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 | +0.57 | ||
| Sortino ratioReturn per unit of downside risk | +0.93 | ||
| Omega ratioGain probability vs. loss probability | 1.17 | 1.07 | +0.11 |
| Calmar ratioReturn relative to maximum drawdown | 1.12 | -0.12 | +1.24 |
| Martin ratioReturn relative to average drawdown | 2.22 | -0.21 | +2.42 |
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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 | -60.76% | -52.07% | -8.69% |
Average DrawdownAverage peak-to-trough decline | -69.39% | -43.95% | -25.44% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 24.10% | 22.89% | +1.21% |
Volatility
^VXN vs. ^VVIX - Volatility Comparison
CBOE NASDAQ 100 Voltility Index (^VXN) has a higher volatility of 41.32% compared to Cboe VVIX Index (^VVIX) at 31.77%. 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.
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Volatility by Period
| ^VXN | ^VVIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 41.32% | 31.77% | +9.55% |
Volatility (6M)Calculated over the trailing 6-month period | 78.01% | 65.40% | +12.61% |
Volatility (1Y)Calculated over the trailing 1-year period | 103.48% | 87.12% | +16.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 94.21% | 88.17% | +6.04% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 106.58% | 86.12% | +20.46% |
Frequently Asked Questions
^VXN and ^VVIX have a correlation of 0.83, 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 ^VVIX (31.77%). In terms of maximum drawdown, ^VXN dropped -87.50% vs ^VVIX's -64.71%.
^VXN currently has the higher Sharpe Ratio (0.52 vs -0.05), 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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