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^VVIX vs. QQQ
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^VVIX and QQQ is -0.55. 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.


-0.50.00.51.0-0.5

Performance

^VVIX vs. QQQ - Performance Comparison

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

0.00%500.00%1,000.00%1,500.00%JulyAugustSeptemberOctoberNovemberDecember
58.94%
1,362.65%
^VVIX
QQQ

Key characteristics

Sharpe Ratio

^VVIX:

0.29

QQQ:

1.64

Sortino Ratio

^VVIX:

1.30

QQQ:

2.19

Omega Ratio

^VVIX:

1.15

QQQ:

1.30

Calmar Ratio

^VVIX:

0.45

QQQ:

2.16

Martin Ratio

^VVIX:

1.01

QQQ:

7.79

Ulcer Index

^VVIX:

29.21%

QQQ:

3.76%

Daily Std Dev

^VVIX:

100.58%

QQQ:

17.85%

Max Drawdown

^VVIX:

-78.10%

QQQ:

-82.98%

Current Drawdown

^VVIX:

-45.08%

QQQ:

-3.63%

Returns By Period

In the year-to-date period, ^VVIX achieves a 31.11% return, which is significantly higher than QQQ's 27.20% return. Over the past 10 years, ^VVIX has underperformed QQQ with an annualized return of 1.86%, while QQQ has yielded a comparatively higher 18.36% annualized return.


^VVIX

YTD

31.11%

1M

11.56%

6M

36.85%

1Y

26.89%

5Y*

2.78%

10Y*

1.86%

QQQ

YTD

27.20%

1M

3.08%

6M

8.34%

1Y

27.81%

5Y*

20.44%

10Y*

18.36%

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Risk-Adjusted Performance

^VVIX vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for CBOE VIX Volatility Index (^VVIX) and Invesco QQQ (QQQ). 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 0.29, compared to the broader market0.001.002.000.291.66
The chart of Sortino ratio for ^VVIX, currently valued at 1.30, compared to the broader market-1.000.001.002.003.001.302.22
The chart of Omega ratio for ^VVIX, currently valued at 1.15, compared to the broader market0.901.001.101.201.301.401.151.30
The chart of Calmar ratio for ^VVIX, currently valued at 0.45, compared to the broader market0.001.002.003.000.452.17
The chart of Martin ratio for ^VVIX, currently valued at 1.01, compared to the broader market0.005.0010.0015.0020.001.017.63
^VVIX
QQQ

The current ^VVIX Sharpe Ratio is 0.29, which is lower than the QQQ Sharpe Ratio of 1.64. The chart below compares the historical Sharpe Ratios of ^VVIX and QQQ, 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 Ratio0.000.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
0.29
1.66
^VVIX
QQQ

Drawdowns

^VVIX vs. QQQ - Drawdown Comparison

The maximum ^VVIX drawdown since its inception was -78.10%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for ^VVIX and QQQ. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-45.08%
-3.63%
^VVIX
QQQ

Volatility

^VVIX vs. QQQ - Volatility Comparison

CBOE VIX Volatility Index (^VVIX) has a higher volatility of 34.95% compared to Invesco QQQ (QQQ) at 5.29%. This indicates that ^VVIX's price experiences larger fluctuations and is considered to be riskier than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%10.00%20.00%30.00%40.00%50.00%JulyAugustSeptemberOctoberNovemberDecember
34.95%
5.29%
^VVIX
QQQ
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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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