EDZ vs. ^VIX
EDZ (Direxion Daily Emerging Markets Bear 3X Shares) is Leveraged Equities fund tracking the MSCI Emerging Markets Index (-300%), while ^VIX (CBOE Volatility Index) is an index. Over the past 10 years, EDZ returned -34.13%/yr vs 3.01%/yr for ^VIX. A 0.61 correlation means they provide meaningful diversification when combined.
Performance
EDZ vs. ^VIX - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, EDZ achieves a -50.67% return, which is significantly lower than ^VIX's 11.91% return. Over the past 10 years, EDZ has underperformed ^VIX with an annualized return of -34.13%, while ^VIX has yielded a comparatively higher 3.01% annualized return.
EDZ
- 1D
- 6.39%
- 1M
- 17.31%
- 6M
- -40.86%
- YTD
- -50.67%
- 1Y
- -65.33%
- 3Y*
- -43.45%
- 5Y*
- -24.56%
- 10Y*
- -34.13%
^VIX
- 1D
- 6.76%
- 1M
- 1.95%
- 6M
- 5.62%
- YTD
- 11.91%
- 1Y
- -2.51%
- 3Y*
- 7.47%
- 5Y*
- -1.94%
- 10Y*
- 3.01%
EDZ vs. ^VIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EDZ Direxion Daily Emerging Markets Bear 3X Shares | -50.67% | -59.30% | -12.71% | -20.28% | 49.27% | -8.69% | -68.79% | -43.01% | 32.87% | -64.12% |
^VIX CBOE Volatility Index | 11.91% | -13.83% | 39.36% | -42.55% | 25.84% | -24.31% | 65.09% | -45.79% | 130.25% | -21.37% |
Correlation
The correlation between EDZ and ^VIX is 0.57, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.57 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.54 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.55 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.57 |
Correlation (All Time) Calculated using the full available price history since Dec 30, 2008 | 0.61 |
The correlation between EDZ and ^VIX has been stable across timeframes, ranging from 0.54 to 0.61 - a consistent structural relationship.
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
EDZ vs. ^VIX — Risk / Return Rank
EDZ
^VIX
EDZ vs. ^VIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Emerging Markets Bear 3X Shares (EDZ) and CBOE Volatility Index (^VIX). 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.
| EDZ | ^VIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.91 | ||
| Sortino ratioReturn per unit of downside risk | -2.58 | ||
| Omega ratioGain probability vs. loss probability | 0.81 | 1.11 | -0.29 |
| Calmar ratioReturn relative to maximum drawdown | -0.87 | -0.05 | -0.83 |
| Martin ratioReturn relative to average drawdown | -1.44 | -0.08 | -1.36 |
Loading charts...
Drawdowns
EDZ vs. ^VIX - Drawdown Comparison
The maximum EDZ drawdown since its inception was -99.99%, which is greater than ^VIX's maximum drawdown of -88.70%. Use the drawdown chart below to compare losses from any high point for EDZ and ^VIX.
Loading charts...
Drawdown Indicators
| EDZ | ^VIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -99.99% | -88.70% | -11.29% |
Max Drawdown (1Y)Largest decline over 1 year | -74.94% | -51.59% | -23.35% |
Max Drawdown (3Y)Largest decline over 3 years | -90.46% | -74.26% | -16.20% |
Max Drawdown (5Y)Largest decline over 5 years | -92.91% | -74.26% | -18.65% |
Max Drawdown (10Y)Largest decline over 10 years | -98.90% | -85.66% | -13.24% |
Current DrawdownCurrent decline from peak | -99.99% | -79.77% | -20.22% |
Average DrawdownAverage peak-to-trough decline | -97.73% | -64.10% | -33.63% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 45.52% | 32.74% | +12.78% |
Volatility
EDZ vs. ^VIX - Volatility Comparison
The current volatility for Direxion Daily Emerging Markets Bear 3X Shares (EDZ) is 28.73%, while CBOE Volatility Index (^VIX) has a volatility of 31.23%. This indicates that EDZ experiences smaller price fluctuations and is considered to be less risky than ^VIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| EDZ | ^VIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 28.73% | 31.23% | -2.50% |
Volatility (6M)Calculated over the trailing 6-month period | 64.01% | 92.53% | -28.52% |
Volatility (1Y)Calculated over the trailing 1-year period | 70.63% | 124.57% | -53.94% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 59.49% | 127.57% | -68.08% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 61.64% | 136.46% | -74.82% |
Frequently Asked Questions
EDZ and ^VIX have a correlation of 0.57, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^VIX has higher volatility (31.23%) compared to EDZ (28.73%). In terms of maximum drawdown, EDZ dropped -99.99% vs ^VIX's -88.70%.
^VIX currently has the higher Sharpe Ratio (-0.02 vs -0.93), 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 EDZ and ^VIX
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