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^VIX vs. XYLD
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^VIX and XYLD is 0.81, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.0
Correlation: 0.8

Performance

^VIX vs. XYLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in CBOE Volatility Index (^VIX) and Global X S&P 500 Covered Call ETF (XYLD). The values are adjusted to include any dividend payments, if applicable.

0.00%50.00%100.00%150.00%NovemberDecember2025FebruaryMarchApril
31.63%
130.77%
^VIX
XYLD

Key characteristics

Sharpe Ratio

^VIX:

0.58

XYLD:

0.55

Sortino Ratio

^VIX:

2.28

XYLD:

0.91

Omega Ratio

^VIX:

1.28

XYLD:

1.17

Calmar Ratio

^VIX:

1.17

XYLD:

0.54

Martin Ratio

^VIX:

2.18

XYLD:

2.57

Ulcer Index

^VIX:

45.88%

XYLD:

3.30%

Daily Std Dev

^VIX:

171.20%

XYLD:

15.30%

Max Drawdown

^VIX:

-88.70%

XYLD:

-33.46%

Current Drawdown

^VIX:

-67.99%

XYLD:

-8.72%

Returns By Period

In the year-to-date period, ^VIX achieves a 52.56% return, which is significantly higher than XYLD's -5.73% return. Over the past 10 years, ^VIX has outperformed XYLD with an annualized return of 7.02%, while XYLD has yielded a comparatively lower 6.35% annualized return.


^VIX

YTD

52.56%

1M

54.34%

6M

38.73%

1Y

65.75%

5Y*

-5.73%

10Y*

7.02%

XYLD

YTD

-5.73%

1M

-3.41%

6M

-0.78%

1Y

7.73%

5Y*

10.01%

10Y*

6.35%

*Annualized

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Risk-Adjusted Performance

^VIX vs. XYLD — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^VIX
The Risk-Adjusted Performance Rank of ^VIX is 9090
Overall Rank
The Sharpe Ratio Rank of ^VIX is 8080
Sharpe Ratio Rank
The Sortino Ratio Rank of ^VIX is 9898
Sortino Ratio Rank
The Omega Ratio Rank of ^VIX is 9898
Omega Ratio Rank
The Calmar Ratio Rank of ^VIX is 9494
Calmar Ratio Rank
The Martin Ratio Rank of ^VIX is 7979
Martin Ratio Rank

XYLD
The Risk-Adjusted Performance Rank of XYLD is 6868
Overall Rank
The Sharpe Ratio Rank of XYLD is 6363
Sharpe Ratio Rank
The Sortino Ratio Rank of XYLD is 6464
Sortino Ratio Rank
The Omega Ratio Rank of XYLD is 7575
Omega Ratio Rank
The Calmar Ratio Rank of XYLD is 6767
Calmar Ratio Rank
The Martin Ratio Rank of XYLD is 6969
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

^VIX vs. XYLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for CBOE Volatility Index (^VIX) and Global X S&P 500 Covered Call ETF (XYLD). 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.


The chart of Sharpe ratio for ^VIX, currently valued at 0.58, compared to the broader market-0.500.000.501.001.50
^VIX: 0.58
XYLD: 0.45
The chart of Sortino ratio for ^VIX, currently valued at 2.28, compared to the broader market-1.000.001.002.00
^VIX: 2.28
XYLD: 0.76
The chart of Omega ratio for ^VIX, currently valued at 1.28, compared to the broader market0.901.001.101.201.30
^VIX: 1.28
XYLD: 1.14
The chart of Calmar ratio for ^VIX, currently valued at 1.17, compared to the broader market-0.500.000.501.00
^VIX: 1.17
XYLD: 0.44
The chart of Martin ratio for ^VIX, currently valued at 2.18, compared to the broader market-2.000.002.004.006.00
^VIX: 2.18
XYLD: 2.05

The current ^VIX Sharpe Ratio is 0.58, which is comparable to the XYLD Sharpe Ratio of 0.55. The chart below compares the historical Sharpe Ratios of ^VIX and XYLD, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.002.503.00NovemberDecember2025FebruaryMarchApril
0.58
0.45
^VIX
XYLD

Drawdowns

^VIX vs. XYLD - Drawdown Comparison

The maximum ^VIX drawdown since its inception was -88.70%, which is greater than XYLD's maximum drawdown of -33.46%. Use the drawdown chart below to compare losses from any high point for ^VIX and XYLD. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%NovemberDecember2025FebruaryMarchApril
-67.99%
-8.72%
^VIX
XYLD

Volatility

^VIX vs. XYLD - Volatility Comparison

CBOE Volatility Index (^VIX) has a higher volatility of 82.11% compared to Global X S&P 500 Covered Call ETF (XYLD) at 12.48%. This indicates that ^VIX's price experiences larger fluctuations and is considered to be riskier than XYLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%20.00%40.00%60.00%80.00%NovemberDecember2025FebruaryMarchApril
82.11%
12.48%
^VIX
XYLD