VXX vs. CAPE
VXX (iPath Series B S&P 500 VIX Short-Term Futures ETN) and CAPE (DoubleLine Shiller CAPE U.S. Equities ETF) are both exchange-traded funds - VXX is a Volatility fund tracking the S&P 500 VIX Short-Term Futures Index Total Return, while CAPE is a Large Cap Value Equities fund actively managed by DoubleLine. VXX is passively managed, while CAPE is actively managed. Over the past 3 years, VXX returned -38.60%/yr vs 10.41%/yr for CAPE. Their -0.58 correlation means they have often moved in opposite directions in the past. VXX charges 0.89%/yr vs 0.65%/yr for CAPE.
Performance
VXX vs. CAPE - Performance Comparison
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Returns By Period
In the year-to-date period, VXX achieves a -19.72% return, which is significantly lower than CAPE's 2.29% return.
VXX
- 1D
- -2.61%
- 1M
- -3.58%
- 6M
- -22.73%
- YTD
- -19.72%
- 1Y
- -53.71%
- 3Y*
- -38.60%
- 5Y*
- -46.47%
- 10Y*
- -46.29%
- ALL TIME*
- -51.44%
CAPE
- 1D
- 0.00%
- 1M
- -0.57%
- 6M
- 0.07%
- YTD
- 2.29%
- 1Y
- 6.18%
- 3Y*
- 10.41%
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 7.75%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $508.60K | $475.70K | $946.02K | |
| $203.07M | $176.34M | $224.72M |
VXX vs. CAPE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
VXX iPath Series B S&P 500 VIX Short-Term Futures ETN | -19.72% | -42.21% | -26.22% | -72.52% | -43.59% |
CAPE DoubleLine Shiller CAPE U.S. Equities ETF | 2.29% | 9.10% | 14.40% | 27.65% | -15.28% |
Correlation
The correlation between VXX and CAPE is -0.45, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.45 |
Correlation (3Y) Balances recent behavior with more history. | -0.56 |
Correlation (All Time) Calculated using the full available price history since Apr 4, 2022 | -0.58 |
The correlation between VXX and CAPE shifts across timeframes, from -0.58 (all time) to -0.45 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
VXX vs. CAPE — Risk / Return Rank
VXX
CAPE
VXX vs. CAPE - 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 DoubleLine Shiller CAPE U.S. Equities ETF (CAPE). 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 | CAPE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.36 | ||
| Sortino ratioReturn per unit of downside risk | -2.11 | ||
| Omega ratioGain probability vs. loss probability | 0.85 | 1.09 | -0.24 |
| Calmar ratioReturn relative to maximum drawdown | -0.92 | 0.58 | -1.50 |
| Martin ratioReturn relative to average drawdown | -1.40 | 2.06 | -3.46 |
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Drawdowns
VXX vs. CAPE - Drawdown Comparison
The maximum VXX drawdown since its inception was -100.00%, which is greater than CAPE's maximum drawdown of -22.07%. Use the drawdown chart below to compare losses from any high point for VXX and CAPE.
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Drawdown Indicators
| VXX | CAPE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -100.00% | -22.07% | -77.93% |
Max Drawdown (1Y)Largest decline over 1 year | -54.59% | -9.68% | -44.91% |
Max Drawdown (3Y)Largest decline over 3 years | -80.75% | -14.32% | -66.43% |
Max Drawdown (5Y)Largest decline over 5 years | -95.66% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -99.80% | — | — |
Current DrawdownCurrent decline from peak | -100.00% | -1.27% | -98.73% |
Average DrawdownAverage peak-to-trough decline | -95.11% | -4.81% | -90.30% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 35.70% | 2.74% | +32.96% |
Volatility
VXX vs. CAPE - Volatility Comparison
iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) has a higher volatility of 14.47% compared to DoubleLine Shiller CAPE U.S. Equities ETF (CAPE) at 4.59%. This indicates that VXX's price experiences larger fluctuations and is considered to be riskier than CAPE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| VXX | CAPE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 14.47% | 4.59% | +9.88% |
Volatility (6M)Calculated over the trailing 6-month period | 42.90% | 9.56% | +33.34% |
Volatility (1Y)Calculated over the trailing 1-year period | 57.37% | 11.58% | +45.79% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 67.63% | 16.85% | +50.78% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 70.37% | 16.85% | +53.52% |
VXX vs. CAPE - Expense Ratio Comparison
VXX has a 0.89% expense ratio, which is higher than CAPE's 0.65% expense ratio.
Dividends
VXX vs. CAPE - Dividend Comparison
VXX has not paid dividends to shareholders, while CAPE's dividend yield for the trailing twelve months is around 1.37%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 |
|---|---|---|---|---|---|
CAPE DoubleLine Shiller CAPE U.S. Equities ETF | 1.37% | 1.39% | 1.23% | 1.01% | 0.80% |
VXX iPath Series B S&P 500 VIX Short-Term Futures ETN | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
VXX and CAPE have a correlation of -0.45, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VXX has higher volatility (14.47%) compared to CAPE (4.59%). In terms of maximum drawdown, VXX dropped -100.00% vs CAPE's -22.07%.
On 3-year performance, CAPE leads with 10.41% vs -38.60% for VXX. On fees, CAPE is cheaper at 0.65% per year. On volatility, CAPE has been the lower-risk option at 4.59%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, CAPE has performed better with a 10.41% return vs -38.60%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
CAPE is cheaper with a 0.65% expense ratio, compared with 0.89% for VXX.
CAPE has the higher dividend yield at 1.37%, compared with 0.00% for VXX.
VXX is categorized as Volatility, while CAPE is Large Cap Value Equities. They also come from different issuers: Barclays Capital and DoubleLine. Their fees differ too: 0.89% for VXX and 0.65% for CAPE.
CAPE currently has the higher Sharpe Ratio (0.49 vs -0.87), 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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