Correlation
The correlation between ^VXN and ^IXIC is 0.92, 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.
^VXN vs. ^IXIC
Compare and contrast key facts about CBOE NASDAQ 100 Voltility Index (^VXN) and NASDAQ Composite (^IXIC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^VXN or ^IXIC.
Performance
^VXN vs. ^IXIC - Performance Comparison
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Key characteristics
^VXN:
0.22
^IXIC:
0.51
^VXN:
1.46
^IXIC:
0.89
^VXN:
1.17
^IXIC:
1.12
^VXN:
0.47
^IXIC:
0.55
^VXN:
1.10
^IXIC:
1.78
^VXN:
35.59%
^IXIC:
7.48%
^VXN:
114.66%
^IXIC:
26.13%
^VXN:
-87.50%
^IXIC:
-77.93%
^VXN:
-73.57%
^IXIC:
-4.95%
Returns By Period
In the year-to-date period, ^VXN achieves a 9.44% return, which is significantly higher than ^IXIC's -0.70% return. Over the past 10 years, ^VXN has underperformed ^IXIC with an annualized return of 3.82%, while ^IXIC has yielded a comparatively higher 14.20% annualized return.
^VXN
9.44%
-21.01%
30.70%
24.64%
-12.01%
-4.86%
3.82%
^IXIC
-0.70%
9.82%
0.61%
13.33%
16.49%
15.11%
14.20%
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Risk-Adjusted Performance
^VXN vs. ^IXIC — Risk-Adjusted Performance Rank
^VXN
^IXIC
^VXN vs. ^IXIC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for CBOE NASDAQ 100 Voltility Index (^VXN) and NASDAQ Composite (^IXIC). 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.
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Drawdowns
^VXN vs. ^IXIC - Drawdown Comparison
The maximum ^VXN drawdown since its inception was -87.50%, which is greater than ^IXIC's maximum drawdown of -77.93%. Use the drawdown chart below to compare losses from any high point for ^VXN and ^IXIC.
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Volatility
^VXN vs. ^IXIC - Volatility Comparison
CBOE NASDAQ 100 Voltility Index (^VXN) has a higher volatility of 24.88% compared to NASDAQ Composite (^IXIC) at 5.97%. This indicates that ^VXN's price experiences larger fluctuations and is considered to be riskier than ^IXIC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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