VXX vs. ^VIX
VXX (iPath Series B S&P 500 VIX Short-Term Futures ETN) is Volatility fund tracking the S&P 500 VIX Short-Term Futures Index Total Return, while ^VIX (CBOE Volatility Index) is an index. Over the past 10 years, VXX returned -46.79%/yr vs 3.08%/yr for ^VIX. Their correlation of 0.87 suggests significant overlap in exposure.
Performance
VXX vs. ^VIX - Performance Comparison
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Returns By Period
In the year-to-date period, VXX achieves a -17.72% return, which is significantly lower than ^VIX's 14.78% return. Over the past 10 years, VXX has underperformed ^VIX with an annualized return of -46.79%, while ^VIX has yielded a comparatively higher 3.08% annualized return.
VXX
- 1D
- 3.08%
- 1M
- -10.00%
- 6M
- -15.71%
- YTD
- -17.72%
- 1Y
- -51.81%
- 3Y*
- -38.94%
- 5Y*
- -45.73%
- 10Y*
- -46.79%
^VIX
- 1D
- 14.17%
- 1M
- -2.94%
- 6M
- 13.49%
- YTD
- 14.78%
- 1Y
- 4.63%
- 3Y*
- 8.76%
- 5Y*
- 1.00%
- 10Y*
- 3.08%
VXX vs. ^VIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
VXX iPath Series B S&P 500 VIX Short-Term Futures ETN | -17.72% | -42.21% | -26.22% | -72.52% | -23.80% | -72.41% | 11.04% | -67.75% | 67.91% | -72.64% |
^VIX CBOE Volatility Index | 14.78% | -13.83% | 39.36% | -42.55% | 25.84% | -24.31% | 65.09% | -45.79% | 130.25% | -21.37% |
Correlation
The correlation between VXX and ^VIX is 0.88, 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 | 0.88 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.88 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.87 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.87 |
Correlation (All Time) Calculated using the full available price history since Jan 30, 2009 | 0.87 |
The correlation between VXX and ^VIX has been stable across timeframes, ranging from 0.87 to 0.88 - a consistent structural relationship.
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Return for Risk
VXX vs. ^VIX — Risk / Return Rank
VXX
^VIX
VXX vs. ^VIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) 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.
| VXX | ^VIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.96 | ||
| Sortino ratioReturn per unit of downside risk | -2.50 | ||
| Omega ratioGain probability vs. loss probability | 0.84 | 1.12 | -0.28 |
| Calmar ratioReturn relative to maximum drawdown | -0.96 | 0.09 | -1.05 |
| Martin ratioReturn relative to average drawdown | -1.55 | 0.14 | -1.69 |
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Drawdowns
VXX vs. ^VIX - Drawdown Comparison
The maximum VXX drawdown since its inception was -100.00%, which is greater than ^VIX's maximum drawdown of -88.70%. Use the drawdown chart below to compare losses from any high point for VXX and ^VIX.
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Drawdown Indicators
| VXX | ^VIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -100.00% | -88.70% | -11.30% |
Max Drawdown (1Y)Largest decline over 1 year | -53.98% | -51.59% | -2.39% |
Max Drawdown (3Y)Largest decline over 3 years | -80.49% | -74.26% | -6.23% |
Max Drawdown (5Y)Largest decline over 5 years | -96.22% | -74.26% | -21.96% |
Max Drawdown (10Y)Largest decline over 10 years | -99.82% | -85.66% | -14.16% |
Current DrawdownCurrent decline from peak | -100.00% | -79.25% | -20.75% |
Average DrawdownAverage peak-to-trough decline | -95.09% | -64.09% | -31.00% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 33.53% | 32.36% | +1.17% |
Volatility
VXX vs. ^VIX - Volatility Comparison
The current volatility for iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) is 14.39%, while CBOE Volatility Index (^VIX) has a volatility of 34.86%. This indicates that VXX 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.
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Volatility by Period
| VXX | ^VIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 14.39% | 34.86% | -20.47% |
Volatility (6M)Calculated over the trailing 6-month period | 43.73% | 92.44% | -48.71% |
Volatility (1Y)Calculated over the trailing 1-year period | 56.27% | 124.55% | -68.28% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 67.95% | 127.59% | -59.64% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 70.30% | 136.48% | -66.18% |
Frequently Asked Questions
VXX and ^VIX have a correlation of 0.88, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^VIX has higher volatility (34.86%) compared to VXX (14.39%). In terms of maximum drawdown, VXX dropped -100.00% vs ^VIX's -88.70%.
^VIX currently has the higher Sharpe Ratio (0.04 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.
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