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 10.97%/yr vs -39.19%/yr for VXX. At a correlation of -0.59, 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 1.57% return, which is significantly higher than VXX's -18.74% return.
CAPE
- 1D
- -0.28%
- 1M
- 0.07%
- 6M
- 0.35%
- YTD
- 1.57%
- 1Y
- 3.39%
- 3Y*
- 10.97%
- 5Y*
- —
- 10Y*
- —
VXX
- 1D
- -1.24%
- 1M
- -11.12%
- 6M
- -18.92%
- YTD
- -18.74%
- 1Y
- -53.11%
- 3Y*
- -39.19%
- 5Y*
- -46.02%
- 10Y*
- -46.85%
CAPE vs. VXX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
CAPE iPath Shiller CAPE ETN | 1.57% | 9.10% | 14.40% | 27.65% | -15.28% |
VXX iPath Series B S&P 500 VIX Short-Term Futures ETN | -18.74% | -42.21% | -26.22% | -72.52% | -43.59% |
Correlation
The correlation between CAPE and VXX is -0.44, 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 | -0.44 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.57 |
Correlation (All Time) Calculated using the full available price history since Apr 4, 2022 | -0.59 |
The correlation between CAPE and VXX shifts across timeframes, from -0.59 (all time) to -0.44 (1 year), reflecting how their relationship changes across market environments.
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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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| CAPE | VXX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.25 | ||
| Sortino ratioReturn per unit of downside risk | +2.04 | ||
| Omega ratioGain probability vs. loss probability | 1.06 | 0.83 | +0.23 |
| Calmar ratioReturn relative to maximum drawdown | 0.35 | -0.99 | +1.34 |
| Martin ratioReturn relative to average drawdown | 1.24 | -1.58 | +2.81 |
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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% | -53.98% | +44.30% |
Max Drawdown (3Y)Largest decline over 3 years | -14.32% | -80.49% | +66.17% |
Max Drawdown (5Y)Largest decline over 5 years | — | -96.22% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -99.82% | — |
Current DrawdownCurrent decline from peak | -1.87% | -100.00% | +98.13% |
Average DrawdownAverage peak-to-trough decline | -4.85% | -95.09% | +90.24% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.75% | 33.70% | -30.95% |
Volatility
CAPE vs. VXX - Volatility Comparison
The current volatility for iPath Shiller CAPE ETN (CAPE) is 4.56%, while iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) has a volatility of 13.78%. 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 | 4.56% | 13.78% | -9.22% |
Volatility (6M)Calculated over the trailing 6-month period | 9.19% | 43.71% | -34.52% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.36% | 56.17% | -44.81% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.87% | 67.95% | -51.08% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.87% | 70.30% | -53.43% |
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 1.38%, while VXX has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 |
|---|---|---|---|---|---|
CAPE iPath Shiller CAPE ETN | 1.38% | 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 -0.44, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VXX has higher volatility (13.78%) compared to CAPE (4.56%). In terms of maximum drawdown, CAPE dropped -22.07% vs VXX's -100.00%.
On 3-year performance, CAPE leads with 10.97% vs -39.19% for VXX. On fees, CAPE is cheaper at 0.45% per year. On volatility, CAPE has been the lower-risk option at 4.56%. 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 10.97% return vs -39.19%. 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 1.38%, 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 -0.95), 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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