XYLD vs. ^VIX
XYLD (Global X S&P 500 Covered Call ETF) is Derivative Income fund tracking the Cboe S&P 500 BuyWrite Index, while ^VIX (CBOE Volatility Index) is an index. Over the past 10 years, XYLD returned 8.18%/yr vs 3.01%/yr for ^VIX. At a correlation of -0.68, they often move in opposite directions.
Performance
XYLD vs. ^VIX - Performance Comparison
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Returns By Period
In the year-to-date period, XYLD achieves a 7.24% return, which is significantly lower than ^VIX's 11.91% return. Over the past 10 years, XYLD has outperformed ^VIX with an annualized return of 8.18%, while ^VIX has yielded a comparatively lower 3.01% annualized return.
XYLD
- 1D
- -0.10%
- 1M
- 1.68%
- 6M
- 6.22%
- YTD
- 7.24%
- 1Y
- 17.35%
- 3Y*
- 11.42%
- 5Y*
- 7.92%
- 10Y*
- 8.18%
^VIX
- 1D
- 6.76%
- 1M
- 1.95%
- 6M
- 5.62%
- YTD
- 11.91%
- 1Y
- -2.51%
- 3Y*
- 7.47%
- 5Y*
- -1.94%
- 10Y*
- 3.01%
XYLD vs. ^VIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
XYLD Global X S&P 500 Covered Call ETF | 7.24% | 8.02% | 19.49% | 11.10% | -12.05% | 19.59% | -0.56% | 21.41% | -6.09% | 16.49% |
^VIX CBOE Volatility Index | 11.91% | -13.83% | 39.36% | -42.55% | 25.84% | -24.31% | 65.09% | -45.79% | 130.25% | -21.37% |
Correlation
The correlation between XYLD and ^VIX is -0.82, 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 | -0.82 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.76 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.74 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.70 |
Correlation (All Time) Calculated using the full available price history since Jun 24, 2013 | -0.68 |
The correlation between XYLD and ^VIX shifts across timeframes, from -0.82 (1 year) to -0.68 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
XYLD vs. ^VIX — Risk / Return Rank
XYLD
^VIX
XYLD vs. ^VIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Global X S&P 500 Covered Call ETF (XYLD) 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.
| XYLD | ^VIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.53 | ||
| Sortino ratioReturn per unit of downside risk | +2.62 | ||
| Omega ratioGain probability vs. loss probability | 1.57 | 1.11 | +0.46 |
| Calmar ratioReturn relative to maximum drawdown | 3.29 | -0.05 | +3.34 |
| Martin ratioReturn relative to average drawdown | 17.16 | -0.08 | +17.23 |
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Drawdowns
XYLD vs. ^VIX - Drawdown Comparison
The maximum XYLD drawdown since its inception was -33.46%, smaller than the maximum ^VIX drawdown of -88.70%. Use the drawdown chart below to compare losses from any high point for XYLD and ^VIX.
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Drawdown Indicators
| XYLD | ^VIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.46% | -88.70% | +55.24% |
Max Drawdown (1Y)Largest decline over 1 year | -5.29% | -51.59% | +46.30% |
Max Drawdown (3Y)Largest decline over 3 years | -15.53% | -74.26% | +58.73% |
Max Drawdown (5Y)Largest decline over 5 years | -18.66% | -74.26% | +55.60% |
Max Drawdown (10Y)Largest decline over 10 years | -33.46% | -85.66% | +52.20% |
Current DrawdownCurrent decline from peak | -0.10% | -79.77% | +79.67% |
Average DrawdownAverage peak-to-trough decline | -3.69% | -64.10% | +60.41% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.01% | 32.74% | -31.73% |
Volatility
XYLD vs. ^VIX - Volatility Comparison
The current volatility for Global X S&P 500 Covered Call ETF (XYLD) is 1.68%, while CBOE Volatility Index (^VIX) has a volatility of 31.23%. This indicates that XYLD 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
| XYLD | ^VIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.68% | 31.23% | -29.55% |
Volatility (6M)Calculated over the trailing 6-month period | 5.92% | 92.53% | -86.61% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.94% | 124.57% | -117.63% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.27% | 127.57% | -116.30% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.15% | 136.46% | -122.31% |
Frequently Asked Questions
XYLD and ^VIX 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.
^VIX has higher volatility (31.23%) compared to XYLD (1.68%). In terms of maximum drawdown, XYLD dropped -33.46% vs ^VIX's -88.70%.
XYLD currently has the higher Sharpe Ratio (2.51 vs -0.02), 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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