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^VXN vs. SQQQ
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^VXN and SQQQ is -0.75. 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. SQQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in CBOE NASDAQ 100 Voltility Index (^VXN) and ProShares UltraPro Short QQQ (SQQQ). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

^VXN:

0.22

SQQQ:

-0.62

Sortino Ratio

^VXN:

1.46

SQQQ:

-0.60

Omega Ratio

^VXN:

1.17

SQQQ:

0.92

Calmar Ratio

^VXN:

0.47

SQQQ:

-0.47

Martin Ratio

^VXN:

1.10

SQQQ:

-1.39

Ulcer Index

^VXN:

35.59%

SQQQ:

33.68%

Daily Std Dev

^VXN:

114.66%

SQQQ:

76.02%

Max Drawdown

^VXN:

-87.50%

SQQQ:

-100.00%

Current Drawdown

^VXN:

-73.57%

SQQQ:

-100.00%

Returns By Period

In the year-to-date period, ^VXN achieves a 9.44% return, which is significantly higher than SQQQ's -23.17% return. Over the past 10 years, ^VXN has outperformed SQQQ with an annualized return of 3.82%, while SQQQ has yielded a comparatively lower -52.19% annualized return.


^VXN

YTD

9.44%

1M

-21.01%

6M

30.70%

1Y

24.64%

3Y*

-12.01%

5Y*

-4.86%

10Y*

3.82%

SQQQ

YTD

-23.17%

1M

-24.13%

6M

-26.44%

1Y

-47.25%

3Y*

-51.04%

5Y*

-52.81%

10Y*

-52.19%

*Annualized

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CBOE NASDAQ 100 Voltility Index

ProShares UltraPro Short QQQ

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

^VXN vs. SQQQ — Risk-Adjusted Performance Rank

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

^VXN
The Risk-Adjusted Performance Rank of ^VXN is 6060
Overall Rank
The Sharpe Ratio Rank of ^VXN is 3434
Sharpe Ratio Rank
The Sortino Ratio Rank of ^VXN is 8888
Sortino Ratio Rank
The Omega Ratio Rank of ^VXN is 8686
Omega Ratio Rank
The Calmar Ratio Rank of ^VXN is 5151
Calmar Ratio Rank
The Martin Ratio Rank of ^VXN is 4242
Martin Ratio Rank

SQQQ
The Risk-Adjusted Performance Rank of SQQQ is 33
Overall Rank
The Sharpe Ratio Rank of SQQQ is 33
Sharpe Ratio Rank
The Sortino Ratio Rank of SQQQ is 44
Sortino Ratio Rank
The Omega Ratio Rank of SQQQ is 33
Omega Ratio Rank
The Calmar Ratio Rank of SQQQ is 22
Calmar Ratio Rank
The Martin Ratio Rank of SQQQ is 11
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.

^VXN vs. SQQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for CBOE NASDAQ 100 Voltility Index (^VXN) and ProShares UltraPro Short QQQ (SQQQ). 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 current ^VXN Sharpe Ratio is 0.22, which is higher than the SQQQ Sharpe Ratio of -0.62. The chart below compares the historical Sharpe Ratios of ^VXN and SQQQ, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Drawdowns

^VXN vs. SQQQ - Drawdown Comparison

The maximum ^VXN drawdown since its inception was -87.50%, smaller than the maximum SQQQ drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for ^VXN and SQQQ.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

^VXN vs. SQQQ - Volatility Comparison

CBOE NASDAQ 100 Voltility Index (^VXN) has a higher volatility of 24.88% compared to ProShares UltraPro Short QQQ (SQQQ) at 17.53%. This indicates that ^VXN's price experiences larger fluctuations and is considered to be riskier than SQQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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