MGK vs. ^VIX
MGK (Vanguard Mega Cap Growth ETF) is Large Cap Growth Equities fund tracking the CRSP US Mega Cap Growth Index, while ^VIX (CBOE Volatility Index) is an index. Over the past 10 years, MGK returned 18.97%/yr vs -2.75%/yr for ^VIX. At a correlation of -0.74, they often move in opposite directions.
Performance
MGK vs. ^VIX - Performance Comparison
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Returns By Period
In the year-to-date period, MGK achieves a 3.65% return, which is significantly lower than ^VIX's 30.37% return. Over the past 10 years, MGK has outperformed ^VIX with an annualized return of 18.97%, while ^VIX has yielded a comparatively lower -2.75% annualized return.
MGK
- 1D
- -2.12%
- 1M
- -3.93%
- YTD
- 3.65%
- 6M
- 2.34%
- 1Y
- 21.62%
- 3Y*
- 23.33%
- 5Y*
- 13.84%
- 10Y*
- 18.97%
^VIX
- 1D
- 12.79%
- 1M
- 16.71%
- YTD
- 30.37%
- 6M
- 39.21%
- 1Y
- -1.71%
- 3Y*
- 13.19%
- 5Y*
- 4.06%
- 10Y*
- -2.75%
MGK vs. ^VIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MGK Vanguard Mega Cap Growth ETF | 3.65% | 20.67% | 32.94% | 51.67% | -33.59% | 28.58% | 41.01% | 37.38% | -2.91% | 29.49% |
^VIX CBOE Volatility Index | 30.37% | -13.83% | 39.36% | -42.55% | 25.84% | -24.31% | 65.09% | -45.79% | 130.25% | -21.37% |
Correlation
The correlation between MGK and ^VIX is -0.71, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| 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 | -0.70 |
Correlation (All Time) Calculated using the full available price history since Dec 27, 2007 | -0.74 |
The correlation between MGK and ^VIX has been stable across timeframes, ranging from -0.74 to -0.70 - a consistent structural relationship.
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Return for Risk
MGK vs. ^VIX — Risk / Return Rank
MGK
^VIX
MGK vs. ^VIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard Mega Cap Growth ETF (MGK) and CBOE Volatility Index (^VIX). 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.
| MGK | ^VIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.27 | ||
| Sortino ratioReturn per unit of downside risk | +0.81 | ||
| Omega ratioGain probability vs. loss probability | 1.22 | 1.11 | +0.11 |
| Calmar ratioReturn relative to maximum drawdown | 1.29 | -0.03 | +1.32 |
| Martin ratioReturn relative to average drawdown | 4.31 | -0.06 | +4.37 |
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Drawdowns
MGK vs. ^VIX - Drawdown Comparison
The maximum MGK drawdown since its inception was -48.43%, smaller than the maximum ^VIX drawdown of -88.70%. Use the drawdown chart below to compare losses from any high point for MGK and ^VIX.
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Drawdown Indicators
| MGK | ^VIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -48.43% | -88.70% | +40.27% |
Max Drawdown (1Y)Largest decline over 1 year | -16.85% | -50.66% | +33.81% |
Max Drawdown (3Y)Largest decline over 3 years | -23.36% | -74.26% | +50.90% |
Max Drawdown (5Y)Largest decline over 5 years | -36.01% | -74.26% | +38.25% |
Max Drawdown (10Y)Largest decline over 10 years | -36.01% | -85.66% | +49.65% |
Current DrawdownCurrent decline from peak | -7.14% | -76.43% | +69.29% |
Average DrawdownAverage peak-to-trough decline | -7.58% | -64.07% | +56.49% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.02% | 30.70% | -25.68% |
Volatility
MGK vs. ^VIX - Volatility Comparison
The current volatility for Vanguard Mega Cap Growth ETF (MGK) is 7.08%, while CBOE Volatility Index (^VIX) has a volatility of 49.16%. This indicates that MGK experiences smaller price fluctuations and is considered to be less risky than ^VIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MGK | ^VIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.08% | 49.16% | -42.08% |
Volatility (6M)Calculated over the trailing 6-month period | 13.75% | 91.13% | -77.38% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.33% | 124.01% | -106.68% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.80% | 127.78% | -104.98% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.96% | 136.67% | -114.71% |
Frequently Asked Questions
MGK and ^VIX 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.
^VIX has higher volatility (49.16%) compared to MGK (7.08%). In terms of maximum drawdown, MGK dropped -48.43% vs ^VIX's -88.70%.
MGK currently has the higher Sharpe Ratio (1.26 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.
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