^VXN vs. ^VVIX
Compare and contrast key facts about CBOE NASDAQ 100 Voltility Index (^VXN) and CBOE VIX Volatility Index (^VVIX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^VXN or ^VVIX.
Key characteristics
| ^VXN | ^VVIX | |
|---|---|---|
| YTD Return | 31.36% | 17.16% |
| 1Y Return | 23.36% | 23.52% |
| 3Y Return (Ann) | -0.62% | -5.35% |
| 5Y Return (Ann) | 3.24% | 0.58% |
| 10Y Return (Ann) | 3.61% | 1.88% |
| Sharpe Ratio | 0.17 | 0.13 |
| Daily Std Dev | 105.98% | 94.76% |
| Max Drawdown | -87.21% | -78.10% |
| Current Drawdown | -73.61% | -50.92% |
Correlation
The correlation between ^VXN and ^VVIX is 0.67, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
^VXN vs. ^VVIX - Performance Comparison
In the year-to-date period, ^VXN achieves a 31.36% return, which is significantly higher than ^VVIX's 17.16% return. Over the past 10 years, ^VXN has outperformed ^VVIX with an annualized return of 3.61%, while ^VVIX has yielded a comparatively lower 1.88% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^VXN vs. ^VVIX - Risk-Adjusted Performance 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.
Drawdowns
^VXN vs. ^VVIX - Drawdown Comparison
The maximum ^VXN drawdown since its inception was -87.21%, 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. For additional features, visit the drawdowns tool.
Volatility
^VXN vs. ^VVIX - Volatility Comparison
The current volatility for CBOE NASDAQ 100 Voltility Index (^VXN) is 31.79%, while CBOE VIX Volatility Index (^VVIX) has a volatility of 43.48%. This indicates that ^VXN experiences smaller price fluctuations and is considered to be less risky than ^VVIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.