VXX vs. DJP
VXX (iPath Series B S&P 500 VIX Short-Term Futures ETN) and DJP (iPath Bloomberg Commodity Index Total Return ETN) are both exchange-traded funds - VXX is a Volatility fund tracking the S&P 500 VIX Short-Term Futures Index Total Return, while DJP is a Commodities fund tracking the Bloomberg Commodity Index. Both are passively managed. Over the past 10 years, VXX returned -48.35%/yr vs 6.22%/yr for DJP. At a correlation of -0.27, they often move in opposite directions. VXX charges 0.89%/yr vs 0.70%/yr for DJP.
Performance
VXX vs. DJP - Performance Comparison
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Returns By Period
In the year-to-date period, VXX achieves a -12.16% return, which is significantly lower than DJP's 16.94% return. Over the past 10 years, VXX has underperformed DJP with an annualized return of -48.35%, while DJP has yielded a comparatively higher 6.22% annualized return.
VXX
- 1D
- -1.86%
- 1M
- -9.32%
- YTD
- -12.16%
- 6M
- -14.08%
- 1Y
- -52.08%
- 3Y*
- -39.64%
- 5Y*
- -45.10%
- 10Y*
- -48.35%
DJP
- 1D
- 1.90%
- 1M
- -10.10%
- YTD
- 16.94%
- 6M
- 14.83%
- 1Y
- 29.01%
- 3Y*
- 12.44%
- 5Y*
- 10.60%
- 10Y*
- 6.22%
VXX vs. DJP - 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 | -12.16% | -42.21% | -26.22% | -72.52% | -23.80% | -72.41% | 11.04% | -67.75% | 67.91% | -72.64% |
DJP iPath Bloomberg Commodity Index Total Return ETN | 16.94% | 17.20% | 5.59% | -9.85% | 17.46% | 31.05% | -4.12% | 7.63% | -13.07% | 0.74% |
Correlation
The correlation between VXX and DJP is 0.12, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.12 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.03 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.13 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.21 |
Correlation (All Time) Calculated using the full available price history since Jan 30, 2009 | -0.27 |
The correlation between VXX and DJP shifts across timeframes, from -0.27 (all time) to 0.12 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
VXX vs. DJP — Risk / Return Rank
VXX
DJP
VXX vs. DJP - 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 Bloomberg Commodity Index Total Return ETN (DJP). 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 | DJP | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.46 | ||
| Sortino ratioReturn per unit of downside risk | -3.52 | ||
| Omega ratioGain probability vs. loss probability | 0.83 | 1.28 | -0.44 |
| Calmar ratioReturn relative to maximum drawdown | -0.98 | 1.77 | -2.75 |
| Martin ratioReturn relative to average drawdown | -1.50 | 7.30 | -8.80 |
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Drawdowns
VXX vs. DJP - Drawdown Comparison
The maximum VXX drawdown since its inception was -100.00%, which is greater than DJP's maximum drawdown of -78.35%. Use the drawdown chart below to compare losses from any high point for VXX and DJP.
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Drawdown Indicators
| VXX | DJP | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -100.00% | -78.35% | -21.65% |
Max Drawdown (1Y)Largest decline over 1 year | -53.48% | -16.42% | -37.06% |
Max Drawdown (3Y)Largest decline over 3 years | -79.21% | -16.42% | -62.79% |
Max Drawdown (5Y)Largest decline over 5 years | -95.97% | -28.98% | -66.99% |
Max Drawdown (10Y)Largest decline over 10 years | -99.85% | -38.36% | -61.49% |
Current DrawdownCurrent decline from peak | -100.00% | -39.86% | -60.14% |
Average DrawdownAverage peak-to-trough decline | -95.08% | -50.81% | -44.27% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 34.97% | 3.98% | +30.99% |
Volatility
VXX vs. DJP - Volatility Comparison
iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) has a higher volatility of 17.03% compared to iPath Bloomberg Commodity Index Total Return ETN (DJP) at 5.12%. This indicates that VXX's price experiences larger fluctuations and is considered to be riskier than DJP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| VXX | DJP | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 17.03% | 5.12% | +11.91% |
Volatility (6M)Calculated over the trailing 6-month period | 43.25% | 17.07% | +26.18% |
Volatility (1Y)Calculated over the trailing 1-year period | 55.88% | 19.17% | +36.71% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 68.03% | 18.99% | +49.04% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 70.38% | 17.08% | +53.30% |
VXX vs. DJP - Expense Ratio Comparison
VXX has a 0.89% expense ratio, which is higher than DJP's 0.70% expense ratio.
Dividends
VXX vs. DJP - Dividend Comparison
Neither VXX nor DJP has paid dividends to shareholders.
Frequently Asked Questions
VXX and DJP have a correlation of 0.12, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VXX has higher volatility (17.03%) compared to DJP (5.12%). In terms of maximum drawdown, VXX dropped -100.00% vs DJP's -78.35%.
On 10-year performance, DJP leads with 6.22% vs -48.35% for VXX. On fees, DJP is cheaper at 0.70% per year. On volatility, DJP has been the lower-risk option at 5.12%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, DJP has performed better with a 6.22% return vs -48.35%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
DJP is cheaper with a 0.70% expense ratio, compared with 0.89% for VXX.
VXX and DJP have nearly identical dividend yields, around 0.00%.
VXX is categorized as Volatility, while DJP is Commodities. VXX tracks S&P 500 VIX Short-Term Futures Index Total Return, while DJP tracks Bloomberg Commodity Index. Their fees differ too: 0.89% for VXX and 0.70% for DJP.
DJP currently has the higher Sharpe Ratio (1.52 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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