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Seth Golden posted an update 4 years, 3 months ago
The daily returns of the VIX Index have negative correlation with the S&P 500® (SPX®). The correlation has been negative 0.70 since the inception of the VIX Index data history in January 1990, as shown in the chart above. The correlation can become even more negative in volatile time periods, reaching negative 0.84 in 2008 and negative 0.73 so far in 2020 (through July 23). Investments that have low or negative correlations may appeal to investors who are exploring the possibilities of diversifying their portfolios in order to mitigate the risk of large damaging drawdowns for their overall portfolios. The VIX Index rose more than 25% on each of the five days since 1990 that the S&P 500 Index fell by more than 8%, as shown in the table below.
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