^VXN vs. QQQ
Compare and contrast key facts about CBOE NASDAQ 100 Voltility Index (^VXN) and Invesco QQQ (QQQ).
QQQ is a passively managed fund by Invesco that tracks the performance of the NASDAQ-100 Index. It was launched on Mar 10, 1999.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^VXN or QQQ.
Key characteristics
| ^VXN | QQQ | |
|---|---|---|
| YTD Return | 31.36% | 16.41% |
| 1Y Return | 23.36% | 26.86% |
| 3Y Return (Ann) | -0.62% | 8.93% |
| 5Y Return (Ann) | 3.24% | 20.65% |
| 10Y Return (Ann) | 3.61% | 17.94% |
| Sharpe Ratio | 0.17 | 1.57 |
| Daily Std Dev | 105.98% | 17.78% |
| Max Drawdown | -87.21% | -82.98% |
| Current Drawdown | -73.61% | -5.49% |
Correlation
The correlation between ^VXN and QQQ is -0.69. 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.
Performance
^VXN vs. QQQ - Performance Comparison
In the year-to-date period, ^VXN achieves a 31.36% return, which is significantly higher than QQQ's 16.41% return. Over the past 10 years, ^VXN has underperformed QQQ with an annualized return of 3.61%, while QQQ has yielded a comparatively higher 17.94% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^VXN vs. QQQ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for CBOE NASDAQ 100 Voltility Index (^VXN) 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.
Drawdowns
^VXN vs. QQQ - Drawdown Comparison
The maximum ^VXN drawdown since its inception was -87.21%, which is greater than QQQ's maximum drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for ^VXN and QQQ. For additional features, visit the drawdowns tool.
Volatility
^VXN vs. QQQ - Volatility Comparison
CBOE NASDAQ 100 Voltility Index (^VXN) has a higher volatility of 31.79% compared to Invesco QQQ (QQQ) at 6.53%. This indicates that ^VXN'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.