VXX vs. CAPE
VXX (iPath Series B S&P 500 VIX Short-Term Futures ETN) and CAPE (iPath Shiller CAPE ETN) 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 Global Equities fund tracking the Shiller Barclays CAPE US Core Sector Index. Both are passively managed. Over the past 3 years, VXX returned -39.15%/yr vs 11.89%/yr for CAPE. At a correlation of -0.59, they often move in opposite directions. VXX charges 0.89%/yr vs 0.45%/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 -9.82% return, which is significantly lower than CAPE's -0.06% return.
VXX
- 1D
- 5.99%
- 1M
- -9.65%
- YTD
- -9.82%
- 6M
- -11.92%
- 1Y
- -54.78%
- 3Y*
- -39.15%
- 5Y*
- -45.02%
- 10Y*
- -48.25%
CAPE
- 1D
- 1.38%
- 1M
- -0.99%
- YTD
- -0.06%
- 6M
- -0.35%
- 1Y
- 3.99%
- 3Y*
- 11.89%
- 5Y*
- —
- 10Y*
- —
VXX vs. CAPE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
VXX iPath Series B S&P 500 VIX Short-Term Futures ETN | -9.82% | -42.21% | -26.22% | -72.52% | -43.59% |
CAPE iPath Shiller CAPE ETN | -0.06% | 9.10% | 14.40% | 27.65% | -15.28% |
Correlation
The correlation between VXX and CAPE is -0.46, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.46 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.58 |
Correlation (All Time) Calculated using the full available price history since Apr 4, 2022 | -0.59 |
The correlation between VXX and CAPE shifts across timeframes, from -0.59 (all time) to -0.46 (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 iPath Shiller CAPE ETN (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 | -1.34 | ||
| Sortino ratioReturn per unit of downside risk | -2.20 | ||
| Omega ratioGain probability vs. loss probability | 0.82 | 1.07 | -0.25 |
| Calmar ratioReturn relative to maximum drawdown | -1.01 | 0.41 | -1.43 |
| Martin ratioReturn relative to average drawdown | -1.55 | 1.46 | -3.01 |
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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 | -54.18% | -9.68% | -44.50% |
Max Drawdown (3Y)Largest decline over 3 years | -79.21% | -14.32% | -64.89% |
Max Drawdown (5Y)Largest decline over 5 years | -95.97% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -99.87% | — | — |
Current DrawdownCurrent decline from peak | -100.00% | -3.24% | -96.76% |
Average DrawdownAverage peak-to-trough decline | -95.08% | -4.90% | -90.18% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 39.47% | 2.73% | +36.74% |
Volatility
VXX vs. CAPE - Volatility Comparison
iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) has a higher volatility of 17.21% compared to iPath Shiller CAPE ETN (CAPE) at 3.60%. 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 | 17.21% | 3.60% | +13.61% |
Volatility (6M)Calculated over the trailing 6-month period | 43.47% | 8.60% | +34.87% |
Volatility (1Y)Calculated over the trailing 1-year period | 56.26% | 11.14% | +45.12% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 68.03% | 16.89% | +51.14% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 70.41% | 16.89% | +53.52% |
VXX vs. CAPE - Expense Ratio Comparison
VXX has a 0.89% expense ratio, which is higher than CAPE's 0.45% 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 1.38%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 |
|---|---|---|---|---|---|
CAPE iPath Shiller CAPE ETN | 1.38% | 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 -0.46, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VXX has higher volatility (17.21%) compared to CAPE (3.60%). In terms of maximum drawdown, VXX dropped -100.00% vs CAPE's -22.07%.
On 3-year performance, CAPE leads with 11.89% vs -39.15% for VXX. On fees, CAPE is cheaper at 0.45% per year. On volatility, CAPE has been the lower-risk option at 3.60%. 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 11.89% return vs -39.15%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
CAPE is cheaper with a 0.45% expense ratio, compared with 0.89% for VXX.
CAPE has the higher dividend yield at 1.38%, compared with 0.00% for VXX.
VXX is categorized as Volatility, while CAPE is Global Equities. VXX tracks S&P 500 VIX Short-Term Futures Index Total Return, while CAPE tracks Shiller Barclays CAPE US Core Sector Index. Their fees differ too: 0.89% for VXX and 0.45% for CAPE.
CAPE currently has the higher Sharpe Ratio (0.36 vs -0.98), 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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