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Asset Class ETF Interactions with VIX

Steve LeCompte | | Posted in: Volatility Effects

How have different asset classes recently interacted with the CBOE Volatility Index (VIX)? To investigate, we look at lead-lag relationships between VIX and returns for each of the following 10 exchange-traded fund (ETF) asset class proxies:

  • Equities:
    • SPDR S&P 500 (SPY)
    • iShares Russell 2000 Index (IWM)
    • iShares MSCI EAFE Index (EFA)
    • iShares MSCI Emerging Markets Index (EEM)
  • Bonds:
    • iShares Barclays 20+ Year Treasury Bond (TLT)
    • iShares iBoxx $ Investment Grade Corporate Bond (LQD)
    • iShares JPMorgan Emerging Markets Bond Fund (EMB)
  • Real assets:
    • Vanguard REIT ETF (VNQ)
    • SPDR Gold Shares (GLD)
    • Invesco DB Commodity Index Tracking (DBC)

We look also at average next-month performances of these ETFs across ranges of of a VIX 3-month simple moving average (SMA3). Using end-of-month levels of VIX since January 1990 and dividend-adjusted monthly closing prices for the asset class proxies as available since July 2002, all through January 2026, we find that:

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