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.
^VXN vs. ^NDX
Compare and contrast key facts about CBOE NASDAQ 100 Voltility Index (^VXN) and NASDAQ 100 (^NDX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^VXN or ^NDX.
Performance
^VXN vs. ^NDX - Performance Comparison
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Key characteristics
^VXN:
0.22
^NDX:
0.55
^VXN:
1.46
^NDX:
0.92
^VXN:
1.17
^NDX:
1.13
^VXN:
0.47
^NDX:
0.59
^VXN:
1.10
^NDX:
1.92
^VXN:
35.59%
^NDX:
7.08%
^VXN:
114.66%
^NDX:
25.70%
^VXN:
-87.50%
^NDX:
-82.90%
^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
9.44%
-21.01%
30.70%
24.64%
-12.01%
-4.86%
3.82%
^NDX
1.67%
9.31%
2.99%
14.02%
18.99%
17.46%
16.80%
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Risk-Adjusted Performance
^VXN vs. ^NDX — Risk-Adjusted Performance Rank
^VXN
^NDX
^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.
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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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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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