^VXN vs. SQQQ
^VXN (CBOE NASDAQ 100 Voltility Index) is an index, while SQQQ (ProShares UltraPro Short QQQ) is Leveraged Equities fund tracking the NASDAQ-100 Index (-300%). Over the past 10 years, ^VXN returned 2.40%/yr vs -56.54%/yr for SQQQ. A 0.73 correlation means they provide meaningful diversification when combined.
Performance
^VXN vs. SQQQ - Performance Comparison
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Returns By Period
In the year-to-date period, ^VXN achieves a 58.03% return, which is significantly higher than SQQQ's -40.98% return. Over the past 10 years, ^VXN has outperformed SQQQ with an annualized return of 2.40%, while SQQQ has yielded a comparatively lower -56.54% annualized return.
^VXN
- 1D
- 2.42%
- 1M
- 29.33%
- YTD
- 58.03%
- 6M
- 79.71%
- 1Y
- 62.68%
- 3Y*
- 14.91%
- 5Y*
- 9.87%
- 10Y*
- 2.40%
SQQQ
- 1D
- -2.42%
- 1M
- 2.09%
- YTD
- -40.98%
- 6M
- -38.01%
- 1Y
- -59.41%
- 3Y*
- -54.63%
- 5Y*
- -47.03%
- 10Y*
- -56.54%
^VXN vs. SQQQ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^VXN CBOE NASDAQ 100 Voltility Index | 58.03% | -1.81% | 22.96% | -41.30% | 30.19% | -21.28% | 59.44% | -46.28% | 100.51% | -6.00% |
SQQQ ProShares UltraPro Short QQQ | -40.98% | -53.05% | -49.79% | -73.61% | 82.40% | -60.87% | -86.40% | -65.92% | -20.83% | -58.67% |
Correlation
The correlation between ^VXN and SQQQ is 0.71, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.71 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.71 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.70 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.71 |
Correlation (All Time) Calculated using the full available price history since Feb 11, 2010 | 0.73 |
The correlation between ^VXN and SQQQ has been stable across timeframes, ranging from 0.70 to 0.73 - a consistent structural relationship.
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Return for Risk
^VXN vs. SQQQ — Risk / Return Rank
^VXN
SQQQ
^VXN vs. SQQQ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for CBOE NASDAQ 100 Voltility Index (^VXN) and ProShares UltraPro Short QQQ (SQQQ). 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 | SQQQ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.72 | ||
| Sortino ratioReturn per unit of downside risk | +3.57 | ||
| Omega ratioGain probability vs. loss probability | 1.19 | 0.79 | +0.40 |
| Calmar ratioReturn relative to maximum drawdown | 1.33 | -0.96 | +2.29 |
| Martin ratioReturn relative to average drawdown | 2.62 | -1.84 | +4.46 |
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Drawdowns
^VXN vs. SQQQ - Drawdown Comparison
The maximum ^VXN drawdown since its inception was -87.50%, smaller than the maximum SQQQ drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for ^VXN and SQQQ.
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Drawdown Indicators
| ^VXN | SQQQ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -87.50% | -100.00% | +12.50% |
Max Drawdown (1Y)Largest decline over 1 year | -47.43% | -62.23% | +14.80% |
Max Drawdown (3Y)Largest decline over 3 years | -61.32% | -92.51% | +31.19% |
Max Drawdown (5Y)Largest decline over 5 years | -67.20% | -97.27% | +30.07% |
Max Drawdown (10Y)Largest decline over 10 years | -83.03% | -99.98% | +16.95% |
Current DrawdownCurrent decline from peak | -62.53% | -100.00% | +37.47% |
Average DrawdownAverage peak-to-trough decline | -69.39% | -92.73% | +23.34% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 24.00% | 33.76% | -9.76% |
Volatility
^VXN vs. SQQQ - Volatility Comparison
CBOE NASDAQ 100 Voltility Index (^VXN) has a higher volatility of 42.09% compared to ProShares UltraPro Short QQQ (SQQQ) at 26.22%. This indicates that ^VXN's price experiences larger fluctuations and is considered to be riskier than SQQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^VXN | SQQQ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 42.09% | 26.22% | +15.87% |
Volatility (6M)Calculated over the trailing 6-month period | 77.41% | 43.25% | +34.16% |
Volatility (1Y)Calculated over the trailing 1-year period | 103.27% | 53.47% | +49.80% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 94.26% | 67.54% | +26.72% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 106.57% | 66.45% | +40.12% |
Frequently Asked Questions
^VXN and SQQQ have a correlation of 0.71, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^VXN has higher volatility (42.09%) compared to SQQQ (26.22%). In terms of maximum drawdown, ^VXN dropped -87.50% vs SQQQ's -100.00%.
^VXN currently has the higher Sharpe Ratio (0.61 vs -1.11), 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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