DJP vs. VXX
DJP (iPath Bloomberg Commodity Index Total Return ETN) and VXX (iPath Series B S&P 500 VIX Short-Term Futures ETN) are both exchange-traded funds - DJP is a Commodities fund tracking the Bloomberg Commodity 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 10 years, DJP returned 7.09%/yr vs -46.89%/yr for VXX. At a correlation of -0.27, they often move in opposite directions. DJP charges 0.70%/yr vs 0.89%/yr for VXX.
Performance
DJP vs. VXX - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, DJP achieves a 29.06% return, which is significantly higher than VXX's -11.22% return. Over the past 10 years, DJP has outperformed VXX with an annualized return of 7.09%, while VXX has yielded a comparatively lower -46.89% annualized return.
DJP
- 1D
- -1.20%
- 1M
- -3.96%
- YTD
- 29.06%
- 6M
- 27.44%
- 1Y
- 42.60%
- 3Y*
- 17.42%
- 5Y*
- 12.19%
- 10Y*
- 7.09%
VXX
- 1D
- -3.33%
- 1M
- -18.15%
- YTD
- -11.22%
- 6M
- -24.41%
- 1Y
- -54.83%
- 3Y*
- -42.32%
- 5Y*
- -46.46%
- 10Y*
- -46.89%
DJP vs. VXX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DJP iPath Bloomberg Commodity Index Total Return ETN | 29.06% | 17.20% | 5.59% | -9.85% | 17.46% | 31.05% | -4.12% | 7.63% | -13.07% | 0.74% |
VXX iPath Series B S&P 500 VIX Short-Term Futures ETN | -11.22% | -42.21% | -26.22% | -72.52% | -23.80% | -72.41% | 11.04% | -67.75% | 67.91% | -72.64% |
Correlation
The correlation between DJP and VXX is 0.16, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.16 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.03 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.13 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.21 |
Correlation (All Time) Calculated using the full available price history since Feb 2, 2009 | -0.27 |
The correlation between DJP and VXX shifts across timeframes, from -0.27 (all time) to 0.16 (1 year), reflecting how their relationship changes across market environments.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
DJP vs. VXX — Risk / Return Rank
DJP
VXX
DJP vs. VXX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iPath Bloomberg Commodity Index Total Return ETN (DJP) 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.
| DJP | VXX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +3.24 | ||
| Sortino ratioReturn per unit of downside risk | +4.47 | ||
| Omega ratioGain probability vs. loss probability | 1.40 | 0.81 | +0.59 |
| Calmar ratioReturn relative to maximum drawdown | 4.97 | -0.96 | +5.93 |
| Martin ratioReturn relative to average drawdown | 12.64 | -1.37 | +14.01 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Loading charts...
Sharpe Ratios by Period
| DJP | VXX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.26 | -0.99 | +3.24 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.65 | -0.69 | +1.33 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.42 | -0.66 | +1.08 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.00 | -0.77 | +0.77 |
Drawdowns
DJP vs. VXX - Drawdown Comparison
The maximum DJP drawdown since its inception was -78.35%, smaller than the maximum VXX drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for DJP and VXX.
Loading charts...
Drawdown Indicators
| DJP | VXX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -78.35% | -100.00% | +21.65% |
Max Drawdown (1Y)Largest decline over 1 year | -8.61% | -57.39% | +48.78% |
Max Drawdown (3Y)Largest decline over 3 years | -13.41% | -79.68% | +66.27% |
Max Drawdown (5Y)Largest decline over 5 years | -28.98% | -95.79% | +66.81% |
Max Drawdown (10Y)Largest decline over 10 years | -38.36% | -99.86% | +61.50% |
Current DrawdownCurrent decline from peak | -33.63% | -100.00% | +66.37% |
Average DrawdownAverage peak-to-trough decline | -50.86% | -95.08% | +44.22% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.38% | 40.04% | -36.66% |
Volatility
DJP vs. VXX - Volatility Comparison
The current volatility for iPath Bloomberg Commodity Index Total Return ETN (DJP) is 5.94%, while iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) has a volatility of 8.62%. This indicates that DJP 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.
Loading charts...
Volatility by Period
| DJP | VXX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.94% | 8.62% | -2.68% |
Volatility (6M)Calculated over the trailing 6-month period | 16.68% | 40.99% | -24.31% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.97% | 55.62% | -36.65% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.96% | 67.94% | -48.98% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.07% | 70.95% | -53.88% |
DJP vs. VXX - Expense Ratio Comparison
DJP has a 0.70% expense ratio, which is lower than VXX's 0.89% expense ratio.
Dividends
DJP vs. VXX - Dividend Comparison
Neither DJP nor VXX has paid dividends to shareholders.
Frequently Asked Questions
DJP and VXX have a correlation of 0.16, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VXX has higher volatility (8.62%) compared to DJP (5.94%). In terms of maximum drawdown, DJP dropped -78.35% vs VXX's -100.00%.
On 10-year performance, DJP leads with 7.09% vs -46.89% for VXX. On fees, DJP is cheaper at 0.70% per year. On volatility, DJP has been the lower-risk option at 5.94%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, DJP has performed better with a 7.09% return vs -46.89%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
DJP is cheaper with a 0.70% expense ratio, compared with 0.89% for VXX.
DJP and VXX have nearly identical dividend yields, around 0.00%.
DJP is categorized as Commodities, while VXX is Volatility. DJP tracks Bloomberg Commodity Index, while VXX tracks S&P 500 VIX Short-Term Futures Index Total Return. Their fees differ too: 0.70% for DJP and 0.89% for VXX.
DJP currently has the higher Sharpe Ratio (2.26 vs -0.99), 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.
Find the right allocation for DJP and VXX
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer