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^VVIX vs. ETH-USD
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^VVIX and ETH-USD is -0.11. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


-0.50.00.51.0-0.1

Performance

^VVIX vs. ETH-USD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in CBOE VIX Volatility Index (^VVIX) and Ethereum (ETH-USD). The values are adjusted to include any dividend payments, if applicable.

0.00%50.00%100.00%JulyAugustSeptemberOctoberNovemberDecember
36.85%
-0.64%
^VVIX
ETH-USD

Key characteristics

Sharpe Ratio

^VVIX:

0.29

ETH-USD:

0.16

Sortino Ratio

^VVIX:

1.30

ETH-USD:

0.74

Omega Ratio

^VVIX:

1.15

ETH-USD:

1.07

Calmar Ratio

^VVIX:

0.45

ETH-USD:

0.04

Martin Ratio

^VVIX:

1.01

ETH-USD:

0.44

Ulcer Index

^VVIX:

29.21%

ETH-USD:

23.56%

Daily Std Dev

^VVIX:

100.58%

ETH-USD:

54.10%

Max Drawdown

^VVIX:

-78.10%

ETH-USD:

-93.96%

Current Drawdown

^VVIX:

-45.08%

ETH-USD:

-27.84%

Returns By Period

In the year-to-date period, ^VVIX achieves a 31.11% return, which is significantly lower than ETH-USD's 52.21% return.


^VVIX

YTD

31.11%

1M

11.56%

6M

36.85%

1Y

26.89%

5Y*

2.78%

10Y*

1.86%

ETH-USD

YTD

52.21%

1M

13.03%

6M

-1.24%

1Y

55.06%

5Y*

92.21%

10Y*

N/A

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Risk-Adjusted Performance

^VVIX vs. ETH-USD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for CBOE VIX Volatility Index (^VVIX) and Ethereum (ETH-USD). 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.


Sharpe ratio
The chart of Sharpe ratio for ^VVIX, currently valued at 0.14, compared to the broader market0.001.002.000.140.16
The chart of Sortino ratio for ^VVIX, currently valued at 1.18, compared to the broader market-1.000.001.002.003.001.180.74
The chart of Omega ratio for ^VVIX, currently valued at 1.13, compared to the broader market0.901.001.101.201.301.401.131.07
The chart of Calmar ratio for ^VVIX, currently valued at 0.06, compared to the broader market0.001.002.003.000.060.04
The chart of Martin ratio for ^VVIX, currently valued at 0.48, compared to the broader market0.005.0010.0015.0020.000.480.44
^VVIX
ETH-USD

The current ^VVIX Sharpe Ratio is 0.29, which is higher than the ETH-USD Sharpe Ratio of 0.16. The chart below compares the historical Sharpe Ratios of ^VVIX and ETH-USD, 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-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.14
0.16
^VVIX
ETH-USD

Drawdowns

^VVIX vs. ETH-USD - Drawdown Comparison

The maximum ^VVIX drawdown since its inception was -78.10%, smaller than the maximum ETH-USD drawdown of -93.96%. Use the drawdown chart below to compare losses from any high point for ^VVIX and ETH-USD. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%JulyAugustSeptemberOctoberNovemberDecember
-45.08%
-27.84%
^VVIX
ETH-USD

Volatility

^VVIX vs. ETH-USD - Volatility Comparison

CBOE VIX Volatility Index (^VVIX) has a higher volatility of 34.71% compared to Ethereum (ETH-USD) at 21.57%. This indicates that ^VVIX's price experiences larger fluctuations and is considered to be riskier than ETH-USD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


10.00%20.00%30.00%40.00%50.00%JulyAugustSeptemberOctoberNovemberDecember
34.71%
21.57%
^VVIX
ETH-USD
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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