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 -13.09%/yr vs -12.28%/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 -1.77% return and VXZ slightly higher at -1.72%.
VIXM
- 1D
- 0.67%
- 1M
- -4.64%
- YTD
- -1.77%
- 6M
- 0.07%
- 1Y
- -12.74%
- 3Y*
- -11.89%
- 5Y*
- -13.09%
- 10Y*
- -12.28%
VXZ
- 1D
- 0.12%
- 1M
- -4.99%
- YTD
- -1.72%
- 6M
- 0.35%
- 1Y
- -12.57%
- 3Y*
- -11.20%
- 5Y*
- -12.28%
- 10Y*
- —
VIXM vs. VXZ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
VIXM ProShares VIX Mid-Term Futures ETF | -1.77% | 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 | -1.72% | 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 | -0.01 | ||
| Sortino ratioReturn per unit of downside risk | -0.01 | ||
| Omega ratioGain probability vs. loss probability | 0.90 | 0.90 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | -0.82 | -0.83 | +0.01 |
| Martin ratioReturn relative to average drawdown | -1.55 | -1.54 | -0.01 |
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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 | -15.53% | -15.13% | -0.40% |
Max Drawdown (3Y)Largest decline over 3 years | -37.35% | -36.45% | -0.90% |
Max Drawdown (5Y)Largest decline over 5 years | -63.40% | -62.05% | -1.35% |
Max Drawdown (10Y)Largest decline over 10 years | -75.56% | — | — |
Current DrawdownCurrent decline from peak | -95.88% | -65.90% | -29.98% |
Average DrawdownAverage peak-to-trough decline | -81.54% | -36.93% | -44.61% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 8.43% | 8.36% | +0.07% |
Volatility
VIXM vs. VXZ - Volatility Comparison
ProShares VIX Mid-Term Futures ETF (VIXM) and iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) have volatilities of 4.20% and 4.05%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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 | 4.20% | 4.05% | +0.15% |
Volatility (6M)Calculated over the trailing 6-month period | 14.13% | 13.78% | +0.35% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.70% | 18.74% | -0.04% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 30.62% | 29.07% | +1.55% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 32.68% | 34.01% | -1.33% |
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 (4.20%) compared to VXZ (4.05%). In terms of maximum drawdown, VIXM dropped -96.23% vs VXZ's -69.00%.
VXZ currently has the higher Sharpe Ratio (-0.67 vs -0.68), 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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