SPDN vs. VXZ
SPDN (Direxion Daily S&P 500 Bear 1x Shares) is Inverse Equities fund tracking the S&P 500 Index, while VXZ (iPath Series B S&P 500® VIX Mid-Term Futures ETN) is a stock. Both are passively managed. Over the past 5 years, SPDN returned -8.36%/yr vs -12.28%/yr for VXZ. A 0.67 correlation means they provide meaningful diversification when combined. SPDN charges 0.50%/yr vs 0.89%/yr for VXZ.
Performance
SPDN vs. VXZ - Performance Comparison
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Returns By Period
In the year-to-date period, SPDN achieves a -6.10% return, which is significantly lower than VXZ's -1.72% return.
SPDN
- 1D
- 0.69%
- 1M
- 0.80%
- YTD
- -6.10%
- 6M
- -5.09%
- 1Y
- -14.93%
- 3Y*
- -11.95%
- 5Y*
- -8.36%
- 10Y*
- -12.66%
VXZ
- 1D
- 0.12%
- 1M
- -4.99%
- YTD
- -1.72%
- 6M
- 0.35%
- 1Y
- -12.57%
- 3Y*
- -11.20%
- 5Y*
- -12.28%
- 10Y*
- —
SPDN vs. VXZ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
SPDN Direxion Daily S&P 500 Bear 1x Shares | -6.10% | -11.09% | -12.88% | -15.04% | 18.63% | -23.72% | -24.56% | -21.94% | 10.35% |
VXZ iPath Series B S&P 500® VIX Mid-Term Futures ETN | -1.72% | 5.73% | -12.65% | -43.98% | 0.47% | -16.38% | 72.77% | -20.10% | 31.89% |
Correlation
The correlation between SPDN and VXZ is 0.66, 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 | 0.66 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.68 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.71 |
Correlation (All Time) Calculated using the full available price history since Jan 18, 2018 | 0.67 |
The correlation between SPDN and VXZ has been stable across timeframes, ranging from 0.66 to 0.71 - a consistent structural relationship.
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Return for Risk
SPDN vs. VXZ — Risk / Return Rank
SPDN
VXZ
SPDN vs. VXZ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Direxion Daily S&P 500 Bear 1x Shares (SPDN) and iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ). 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.
| SPDN | VXZ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.52 | ||
| Sortino ratioReturn per unit of downside risk | -0.87 | ||
| Omega ratioGain probability vs. loss probability | 0.81 | 0.90 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | -0.93 | -0.83 | -0.10 |
| Martin ratioReturn relative to average drawdown | -1.75 | -1.54 | -0.21 |
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Drawdowns
SPDN vs. VXZ - Drawdown Comparison
The maximum SPDN drawdown since its inception was -75.31%, which is greater than VXZ's maximum drawdown of -69.00%. Use the drawdown chart below to compare losses from any high point for SPDN and VXZ.
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Drawdown Indicators
| SPDN | VXZ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -75.31% | -69.00% | -6.31% |
Max Drawdown (1Y)Largest decline over 1 year | -16.05% | -15.13% | -0.92% |
Max Drawdown (3Y)Largest decline over 3 years | -38.24% | -36.45% | -1.79% |
Max Drawdown (5Y)Largest decline over 5 years | -43.85% | -62.05% | +18.20% |
Max Drawdown (10Y)Largest decline over 10 years | -75.31% | — | — |
Current DrawdownCurrent decline from peak | -74.71% | -65.90% | -8.81% |
Average DrawdownAverage peak-to-trough decline | -48.66% | -36.93% | -11.73% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.44% | 8.36% | +1.08% |
Volatility
SPDN vs. VXZ - Volatility Comparison
Direxion Daily S&P 500 Bear 1x Shares (SPDN) has a higher volatility of 4.51% compared to iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) at 4.05%. This indicates that SPDN's price experiences larger fluctuations and is considered to be riskier than VXZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SPDN | VXZ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.51% | 4.05% | +0.46% |
Volatility (6M)Calculated over the trailing 6-month period | 9.82% | 13.78% | -3.96% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.59% | 18.74% | -6.15% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.95% | 29.07% | -12.12% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.04% | 34.01% | -15.97% |
SPDN vs. VXZ - Expense Ratio Comparison
SPDN has a 0.50% expense ratio, which is lower than VXZ's 0.89% expense ratio.
Dividends
SPDN vs. VXZ - Dividend Comparison
SPDN's dividend yield for the trailing twelve months is around 4.02%, while VXZ has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
SPDN Direxion Daily S&P 500 Bear 1x Shares | 4.02% | 4.06% | 5.32% | 5.84% | 0.96% | 0.00% | 0.10% | 1.89% | 1.24% | 0.42% |
VXZ iPath Series B S&P 500® VIX Mid-Term Futures ETN | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
SPDN and VXZ have a correlation of 0.66, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPDN has higher volatility (4.51%) compared to VXZ (4.05%). In terms of maximum drawdown, SPDN dropped -75.31% vs VXZ's -69.00%.
VXZ currently has the higher Sharpe Ratio (-0.67 vs -1.19), 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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