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

Correlation

The correlation between ^VXN and ^NDX is 0.89, 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.


Performance

^VXN vs. ^NDX - Performance Comparison

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

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Key characteristics

Sharpe Ratio

^VXN:

0.22

^NDX:

0.55

Sortino Ratio

^VXN:

1.46

^NDX:

0.92

Omega Ratio

^VXN:

1.17

^NDX:

1.13

Calmar Ratio

^VXN:

0.47

^NDX:

0.59

Martin Ratio

^VXN:

1.10

^NDX:

1.92

Ulcer Index

^VXN:

35.59%

^NDX:

7.08%

Daily Std Dev

^VXN:

114.66%

^NDX:

25.70%

Max Drawdown

^VXN:

-87.50%

^NDX:

-82.90%

Current Drawdown

^VXN:

-73.57%

^NDX:

-3.66%

Returns By Period

In the year-to-date period, ^VXN achieves a 9.44% return, which is significantly higher than ^NDX's 1.67% return. Over the past 10 years, ^VXN has underperformed ^NDX with an annualized return of 3.82%, while ^NDX has yielded a comparatively higher 16.80% annualized return.


^VXN

YTD

9.44%

1M

-21.01%

6M

30.70%

1Y

24.64%

3Y*

-12.01%

5Y*

-4.86%

10Y*

3.82%

^NDX

YTD

1.67%

1M

9.31%

6M

2.99%

1Y

14.02%

3Y*

18.99%

5Y*

17.46%

10Y*

16.80%

*Annualized

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CBOE NASDAQ 100 Voltility Index

NASDAQ 100

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

Risk-Adjusted Performance

^VXN vs. ^NDX — 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

^NDX
The Risk-Adjusted Performance Rank of ^NDX is 5959
Overall Rank
The Sharpe Ratio Rank of ^NDX is 6060
Sharpe Ratio Rank
The Sortino Ratio Rank of ^NDX is 5656
Sortino Ratio Rank
The Omega Ratio Rank of ^NDX is 5656
Omega Ratio Rank
The Calmar Ratio Rank of ^NDX is 6363
Calmar Ratio Rank
The Martin Ratio Rank of ^NDX is 5959
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. ^NDX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for CBOE NASDAQ 100 Voltility Index (^VXN) and NASDAQ 100 (^NDX). 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 lower than the ^NDX Sharpe Ratio of 0.55. The chart below compares the historical Sharpe Ratios of ^VXN and ^NDX, 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. ^NDX - Drawdown Comparison

The maximum ^VXN drawdown since its inception was -87.50%, which is greater than ^NDX's maximum drawdown of -82.90%. Use the drawdown chart below to compare losses from any high point for ^VXN and ^NDX.


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

Volatility

^VXN vs. ^NDX - Volatility Comparison

CBOE NASDAQ 100 Voltility Index (^VXN) has a higher volatility of 24.88% compared to NASDAQ 100 (^NDX) at 5.57%. This indicates that ^VXN's price experiences larger fluctuations and is considered to be riskier than ^NDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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