VIXM vs. VXZ
VIXM (ProShares VIX Mid-Term Futures ETF) is Volatility fund tracking the S&P 500 VIX Mid-Term Futures 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, VIXM returned -14.38%/yr vs -13.55%/yr for VXZ. Their correlation of 0.91 suggests significant overlap in exposure. VIXM charges 0.85%/yr vs 0.89%/yr for VXZ.
Performance
VIXM vs. VXZ - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with VIXM having a -5.83% return and VXZ slightly higher at -5.72%.
VIXM
- 1D
- 0.49%
- 1M
- -5.64%
- 6M
- -3.49%
- YTD
- -5.83%
- 1Y
- -13.43%
- 3Y*
- -9.98%
- 5Y*
- -14.38%
- 10Y*
- -11.64%
VXZ
- 1D
- -0.06%
- 1M
- -5.96%
- 6M
- -3.69%
- YTD
- -5.72%
- 1Y
- -13.08%
- 3Y*
- -9.32%
- 5Y*
- -13.55%
- 10Y*
- —
VIXM vs. VXZ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
VIXM ProShares VIX Mid-Term Futures ETF | -5.83% | 5.60% | -13.67% | -44.83% | -0.69% | -16.70% | 72.38% | -20.38% | 31.21% |
VXZ iPath Series B S&P 500® VIX Mid-Term Futures ETN | -5.72% | 5.73% | -12.65% | -43.98% | 0.47% | -16.38% | 72.77% | -20.10% | 31.89% |
Correlation
The correlation between VIXM and VXZ is 0.95, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.95 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.97 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.97 |
Correlation (All Time) Calculated using the full available price history since Jan 18, 2018 | 0.91 |
The correlation between VIXM and VXZ has been stable across timeframes, ranging from 0.91 to 0.97 - a consistent structural relationship.
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Return for Risk
VIXM vs. VXZ — Risk / Return Rank
VIXM
VXZ
VIXM vs. VXZ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares VIX Mid-Term Futures ETF (VIXM) 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.
| VIXM | VXZ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.02 | ||
| Sortino ratioReturn per unit of downside risk | -0.02 | ||
| Omega ratioGain probability vs. loss probability | 0.89 | 0.90 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | -0.70 | -0.69 | -0.01 |
| Martin ratioReturn relative to average drawdown | -1.46 | -1.43 | -0.03 |
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Drawdowns
VIXM vs. VXZ - Drawdown Comparison
The maximum VIXM drawdown since its inception was -96.23%, which is greater than VXZ's maximum drawdown of -69.00%. Use the drawdown chart below to compare losses from any high point for VIXM and VXZ.
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Drawdown Indicators
| VIXM | VXZ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -96.23% | -69.00% | -27.23% |
Max Drawdown (1Y)Largest decline over 1 year | -19.16% | -18.89% | -0.27% |
Max Drawdown (3Y)Largest decline over 3 years | -37.26% | -36.45% | -0.81% |
Max Drawdown (5Y)Largest decline over 5 years | -63.40% | -62.05% | -1.35% |
Max Drawdown (10Y)Largest decline over 10 years | -72.55% | — | — |
Current DrawdownCurrent decline from peak | -96.05% | -67.29% | -28.76% |
Average DrawdownAverage peak-to-trough decline | -81.59% | -37.12% | -44.47% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.23% | 9.15% | +0.08% |
Volatility
VIXM vs. VXZ - Volatility Comparison
ProShares VIX Mid-Term Futures ETF (VIXM) has a higher volatility of 3.55% compared to iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) at 3.29%. This indicates that VIXM'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
| VIXM | VXZ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.55% | 3.29% | +0.26% |
Volatility (6M)Calculated over the trailing 6-month period | 14.02% | 13.60% | +0.42% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.66% | 18.65% | +0.01% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 30.60% | 29.04% | +1.56% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 32.63% | 33.92% | -1.29% |
VIXM vs. VXZ - Expense Ratio Comparison
VIXM has a 0.85% expense ratio, which is lower than VXZ's 0.89% expense ratio.
Dividends
VIXM vs. VXZ - Dividend Comparison
Neither VIXM nor VXZ has paid dividends to shareholders.
Frequently Asked Questions
With a correlation of 0.95, VIXM and VXZ move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
VIXM has higher volatility (3.55%) compared to VXZ (3.29%). In terms of maximum drawdown, VIXM dropped -96.23% vs VXZ's -69.00%.
VXZ currently has the higher Sharpe Ratio (-0.71 vs -0.72), 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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