CBOE Volatility Index

10-Year Study

VIX.INDX · · US · INDEX

Executive Summary: CBOE Volatility Index has compounded at 2.4% annually over the last 10 years, with a maximum drawdown of 76.8% and an annualized volatility of 67.3%.

1Y CAGR
-3.7%
3Y CAGR
+0.0%
5Y CAGR
+1.4%
10Y CAGR
+2.4%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
76.8%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.44
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.97
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
86.5%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · +130.3%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · -45.8%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
50%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
202616.719.621.1-29.0————————20.0%
2025-5.319.513.510.9-24.8-9.9-0.1-8.16.07.1-6.3-8.6-13.8%
202415.3-6.6-2.920.3-17.4-3.731.5-8.311.538.4-41.728.439.4%
2023-10.56.7-9.7-15.613.7-24.20.3-0.429.13.5-28.8-3.6-42.5%
202244.221.4-31.862.5-21.69.6-25.721.322.2-18.2-20.55.325.8%
202145.5-15.5-30.6-4.1-9.9-5.515.2-9.640.4-29.767.2-36.7-24.3%
202036.7112.933.5-36.2-19.410.6-19.68.0-0.244.2-45.910.665.1%
2019-34.8-11.3-6.7-4.342.6-19.46.917.7-14.4-18.6-4.59.2-45.8%
201822.646.60.6-20.2-3.14.3-20.30.2-5.875.2-14.940.7130.3%
2017-14.67.8-4.3-12.5-3.87.4-8.23.2-10.27.010.8-2.1-21.4%
2016———12.5-9.610.1-24.113.1-1.028.4-21.95.30.6%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 67.3%. The dominant macroeconomic risk driver is VIX.INDX, accounting for 100.0% of variance. Idiosyncratic stock-specific factors contribute 0.0%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0111254.480286738351
2016-05-0110172.04301075269
2016-06-0111204.301075268819
2016-07-018508.960573476703
2016-08-019620.071684587814
2016-09-019526.881720430107
2016-10-0112229.390681003584
2016-11-019555.555555555557
2016-12-0110064.516129032258
2017-01-018594.982078853047
2017-02-019261.648745519713
2017-03-018867.383512544802
2017-04-017756.272401433693
2017-05-017462.36559139785
2017-06-018014.336917562724
2017-07-017354.8387096774195
2017-08-017591.397849462366
2017-09-016817.2043010752695
2017-10-017297.4910394265235
2017-11-018086.021505376344
2017-12-017913.978494623656
2018-01-019706.093189964158
2018-02-0114229.390681003586
2018-03-0114315.412186379928
2018-04-0111419.354838709678
2018-05-0111060.931899641577
2018-06-0111534.05017921147
2018-07-019197.132616487455
2018-08-019218.637992831542
2018-09-018688.172043010753
2018-10-0115218.637992831544
2018-11-0112953.405017921146
2018-12-0118222.222222222223
2019-01-0111878.136200716846
2019-02-0110537.63440860215
2019-03-019827.956989247314
2019-04-019405.017921146953
2019-05-0113412.186379928316
2019-06-0110810.035842293908
2019-07-0111555.555555555557
2019-08-0113605.734767025091
2019-09-0111641.577060931899
2019-10-019476.702508960574
2019-11-019046.594982078852
2019-12-019878.136200716846
2020-01-0113505.376344086022
2020-02-0128752.688172043014
2020-03-0138379.92831541219
2020-04-0124480.286738351253
2020-05-0119720.43010752688
2020-06-0121813.62007168459
2020-07-0117534.05017921147
2020-08-0118931.89964157706
2020-09-0118903.225806451617
2020-10-0127254.480286738355
2020-11-0114745.51971326165
2020-12-0116308.243727598569
2021-01-0123720.430107526885
2021-02-0120035.84229390681
2021-03-0113906.810035842294
2021-04-0113340.501792114695
2021-05-0112014.336917562727
2021-06-0111347.670250896059
2021-07-0113075.2688172043
2021-08-0111813.620071684589
2021-09-0116587.813620071684
2021-10-0111655.913978494626
2021-11-0119491.0394265233
2021-12-0112344.086021505376
2022-01-0117799.283154121862
2022-02-0121612.90322580645
2022-03-0114738.351254480287
2022-04-0123942.652329749104
2022-05-0118774.1935483871
2022-06-0120580.645161290322
2022-07-0115290.322580645161
2022-08-0118544.802867383514
2022-09-0122666.66666666667
2022-10-0118551.971326164876
2022-11-0114752.688172043008
2022-12-0115534.050179211472
2023-01-0113906.810035842294
2023-02-0114838.709677419354
2023-03-0113405.017921146953
2023-04-0111311.827956989247
2023-05-0112860.215053763442
2023-06-019741.935483870968
2023-07-019770.609318996418
2023-08-019727.598566308245
2023-09-0112559.139784946236
2023-10-0113003.58422939068
2023-11-019261.648745519713
2023-12-018924.731182795698
2024-01-0110286.73835125448
2024-02-019605.734767025091
2024-03-019326.164874551972
2024-04-0111218.637992831542
2024-05-019261.648745519713
2024-06-018917.562724014337
2024-07-0111727.598566308245
2024-08-0110752.688172043012
2024-09-0111992.831541218638
2024-10-0116602.15053763441
2024-11-019684.587813620072
2024-12-0112437.275985663084
2025-01-0111777.777777777777
2025-02-0114071.68458781362
2025-03-0115971.326164874554
2025-04-0117706.09318996416
2025-05-0113311.827956989247
2025-06-0111992.831541218638
2025-07-0111985.663082437277
2025-08-0111010.752688172042
2025-09-0111670.250896057349
2025-10-0112501.792114695343
2025-11-0111720.430107526883
2025-12-0110716.8458781362
2026-01-0112501.792114695343
2026-02-0114946.236559139787
2026-03-0118100.35842293907
2026-04-0112860.215053763442
Annual Return Matrix
YearAnnual Return
2017-0.2136752136752137
20181.302536231884058
2019-0.45790715971675855
20200.6509433962264151
2021-0.24307692307692308
20220.2584204413472708
2023-0.4254730041532073
20240.39357429718875525
2025-0.1383285302593661
20260.20000000000000018
Total Factor Risk
0.6728385140258759
VTI.US Exposure
-5.959794735459708e-16
VEA.US Exposure
1.0856752769180789e-16
VWO.US Exposure
3.10687720964472e-17
QQQ.US Exposure
1.7975672478924198e-17
VTV.US Exposure
-1.6113139196042118e-17
IJR.US Exposure
-1.7428711376051605e-17
QUAL.US Exposure
1.1167663378414595e-16
SHV.US Exposure
-1.7121406663204978e-19
TLT.US Exposure
7.909015538286702e-17
LQD.US Exposure
-2.126399321555796e-16
HYG.US Exposure
2.3695270022711404e-17
GLD.US Exposure
1.7675015225380146e-18
USO.US Exposure
5.808471539834796e-18
VNQ.US Exposure
5.63529916351541e-17
BTC-USD.CC Exposure
5.595129130281602e-17
CPER.US Exposure
-3.401615815315005e-17
VIX.INDX Exposure
0.9999999779108855
UUP.US Exposure
-1.2120296418370044e-17
TIP.US Exposure
6.4480402470298084e-18
Idiosyncratic Exposure
2.2089114887001385e-8
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
67.3%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$0
Avg Yield on Cost
0.00%

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
-20.8%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
-1.7%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
42.2% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.00
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is CBOE Volatility Index a high-risk investment?

CBOE Volatility Index (VIX.INDX) has an annualized volatility of 67.3% and experienced a maximum drawdown of 76.8% over the last 10 years. Its primary macro risk driver is VIX.INDX.

What is the 10-year return of VIX.INDX?

Over the past 10 years, VIX.INDX has generated a Compound Annual Growth Rate (CAGR) of 2.4%. It has had a positive return in 50% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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