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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.

0.00%200.00%400.00%600.00%800.00%December2025FebruaryMarchAprilMay
-52.69%
711.57%
^VXN
^NDX

Key characteristics

Sharpe Ratio

^VXN:

0.49

^NDX:

0.44

Sortino Ratio

^VXN:

1.59

^NDX:

0.77

Omega Ratio

^VXN:

1.18

^NDX:

1.11

Calmar Ratio

^VXN:

0.59

^NDX:

0.47

Martin Ratio

^VXN:

1.45

^NDX:

1.56

Ulcer Index

^VXN:

33.83%

^NDX:

6.99%

Daily Std Dev

^VXN:

113.12%

^NDX:

25.24%

Max Drawdown

^VXN:

-87.21%

^NDX:

-82.90%

Current Drawdown

^VXN:

-67.80%

^NDX:

-9.52%

Returns By Period

In the year-to-date period, ^VXN achieves a 30.37% return, which is significantly higher than ^NDX's -4.51% return. Over the past 10 years, ^VXN has underperformed ^NDX with an annualized return of 5.25%, while ^NDX has yielded a comparatively higher 16.32% annualized return.


^VXN

YTD

30.37%

1M

-34.35%

6M

41.53%

1Y

54.58%

5Y*

-3.24%

10Y*

5.25%

^NDX

YTD

-4.51%

1M

17.40%

6M

-4.92%

1Y

10.94%

5Y*

16.88%

10Y*

16.32%

*Annualized

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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 7676
Overall Rank
The Sharpe Ratio Rank of ^VXN is 6666
Sharpe Ratio Rank
The Sortino Ratio Rank of ^VXN is 9595
Sortino Ratio Rank
The Omega Ratio Rank of ^VXN is 8787
Omega Ratio Rank
The Calmar Ratio Rank of ^VXN is 7878
Calmar Ratio Rank
The Martin Ratio Rank of ^VXN is 5656
Martin Ratio Rank

^NDX
The Risk-Adjusted Performance Rank of ^NDX is 6161
Overall Rank
The Sharpe Ratio Rank of ^NDX is 5858
Sharpe Ratio Rank
The Sortino Ratio Rank of ^NDX is 6060
Sortino Ratio Rank
The Omega Ratio Rank of ^NDX is 6060
Omega Ratio Rank
The Calmar Ratio Rank of ^NDX is 6767
Calmar Ratio Rank
The Martin Ratio Rank of ^NDX is 6262
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 0.49, which is comparable to the ^NDX Sharpe Ratio of 0.44. 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.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00December2025FebruaryMarchAprilMay
0.49
0.44
^VXN
^NDX

Drawdowns

^VXN vs. ^NDX - Drawdown Comparison

The maximum ^VXN drawdown since its inception was -87.21%, 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. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%December2025FebruaryMarchAprilMay
-67.80%
-9.52%
^VXN
^NDX

Volatility

^VXN vs. ^NDX - Volatility Comparison

CBOE NASDAQ 100 Voltility Index (^VXN) has a higher volatility of 38.15% compared to NASDAQ 100 (^NDX) at 13.81%. 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.


0.00%10.00%20.00%30.00%40.00%50.00%December2025FebruaryMarchAprilMay
38.15%
13.81%
^VXN
^NDX