CAPE vs. VXX
CAPE (iPath Shiller CAPE ETN) and VXX (iPath Series B S&P 500 VIX Short-Term Futures ETN) are both exchange-traded funds - CAPE is a Global Equities fund tracking the Shiller Barclays CAPE US Core Sector Index, while VXX is a Volatility fund tracking the S&P 500 VIX Short-Term Futures Index Total Return. Both are passively managed. Over the past 3 years, CAPE returned 12.19%/yr vs -42.02%/yr for VXX. At a correlation of -0.61, they often move in opposite directions. CAPE charges 0.45%/yr vs 0.89%/yr for VXX.
Performance
CAPE vs. VXX - Performance Comparison
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Returns By Period
In the year-to-date period, CAPE achieves a -1.70% return, which is significantly higher than VXX's -8.16% return.
CAPE
- 1D
- -0.48%
- 1M
- -1.99%
- YTD
- -1.70%
- 6M
- -1.38%
- 1Y
- 3.29%
- 3Y*
- 12.19%
- 5Y*
- —
- 10Y*
- —
VXX
- 1D
- -0.25%
- 1M
- -15.21%
- YTD
- -8.16%
- 6M
- -22.63%
- 1Y
- -53.35%
- 3Y*
- -42.02%
- 5Y*
- -46.10%
- 10Y*
- -46.78%
CAPE vs. VXX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
CAPE iPath Shiller CAPE ETN | -1.70% | 9.10% | 14.40% | 27.65% | -15.28% |
VXX iPath Series B S&P 500 VIX Short-Term Futures ETN | -8.16% | -42.21% | -26.22% | -72.52% | -42.20% |
Correlation
The correlation between CAPE and VXX is -0.53, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.53 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.59 |
Correlation (All Time) Calculated using the full available price history since Apr 5, 2022 | -0.61 |
The correlation between CAPE and VXX has been stable across timeframes, ranging from -0.61 to -0.53 - a consistent structural relationship.
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Return for Risk
CAPE vs. VXX — Risk / Return Rank
CAPE
VXX
CAPE vs. VXX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iPath Shiller CAPE ETN (CAPE) and iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX). 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.
| CAPE | VXX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.27 | ||
| Sortino ratioReturn per unit of downside risk | +2.08 | ||
| Omega ratioGain probability vs. loss probability | 1.06 | 0.82 | +0.24 |
| Calmar ratioReturn relative to maximum drawdown | 0.34 | -0.95 | +1.29 |
| Martin ratioReturn relative to average drawdown | 1.24 | -1.34 | +2.58 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| CAPE | VXX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.30 | -0.96 | +1.27 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | -0.68 | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | -0.66 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.42 | -0.77 | +1.18 |
Drawdowns
CAPE vs. VXX - Drawdown Comparison
The maximum CAPE drawdown since its inception was -22.07%, smaller than the maximum VXX drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for CAPE and VXX.
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Drawdown Indicators
| CAPE | VXX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.07% | -100.00% | +77.93% |
Max Drawdown (1Y)Largest decline over 1 year | -9.68% | -56.23% | +46.55% |
Max Drawdown (3Y)Largest decline over 3 years | -14.32% | -80.28% | +65.96% |
Max Drawdown (5Y)Largest decline over 5 years | — | -95.68% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -99.86% | — |
Current DrawdownCurrent decline from peak | -4.83% | -100.00% | +95.17% |
Average DrawdownAverage peak-to-trough decline | -4.93% | -95.08% | +90.15% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.65% | 39.88% | -37.23% |
Volatility
CAPE vs. VXX - Volatility Comparison
The current volatility for iPath Shiller CAPE ETN (CAPE) is 2.63%, while iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) has a volatility of 8.29%. This indicates that CAPE experiences smaller price fluctuations and is considered to be less risky than VXX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CAPE | VXX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.63% | 8.29% | -5.66% |
Volatility (6M)Calculated over the trailing 6-month period | 8.04% | 40.88% | -32.84% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.89% | 55.57% | -44.68% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.93% | 67.96% | -51.03% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.93% | 70.96% | -54.03% |
CAPE vs. VXX - Expense Ratio Comparison
CAPE has a 0.45% expense ratio, which is lower than VXX's 0.89% expense ratio.
Dividends
CAPE vs. VXX - Dividend Comparison
CAPE's dividend yield for the trailing twelve months is around 1.41%, while VXX has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 |
|---|---|---|---|---|---|
CAPE iPath Shiller CAPE ETN | 1.41% | 1.39% | 1.23% | 1.01% | 0.80% |
VXX iPath Series B S&P 500 VIX Short-Term Futures ETN | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
CAPE and VXX have a correlation of -0.53, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VXX has higher volatility (8.29%) compared to CAPE (2.63%). In terms of maximum drawdown, CAPE dropped -22.07% vs VXX's -100.00%.
On 3-year performance, CAPE leads with 12.19% vs -42.02% for VXX. On fees, CAPE is cheaper at 0.45% per year. On volatility, CAPE has been the lower-risk option at 2.63%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, CAPE has performed better with a 12.19% return vs -42.02%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
CAPE is cheaper with a 0.45% expense ratio, compared with 0.89% for VXX.
CAPE has the higher dividend yield at 1.41%, compared with 0.00% for VXX.
CAPE is categorized as Global Equities, while VXX is Volatility. CAPE tracks Shiller Barclays CAPE US Core Sector Index, while VXX tracks S&P 500 VIX Short-Term Futures Index Total Return. Their fees differ too: 0.45% for CAPE and 0.89% for VXX.
CAPE currently has the higher Sharpe Ratio (0.30 vs -0.96), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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