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 -46.78%/yr vs 7.36%/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 -8.16% return, which is significantly lower than DJP's 30.63% return. Over the past 10 years, VXX has underperformed DJP with an annualized return of -46.78%, while DJP has yielded a comparatively higher 7.36% annualized return.
VXX
- 1D
- -0.25%
- 1M
- -15.21%
- YTD
- -8.16%
- 6M
- -22.63%
- 1Y
- -53.35%
- 3Y*
- -42.02%
- 5Y*
- -46.10%
- 10Y*
- -46.78%
DJP
- 1D
- 0.02%
- 1M
- -3.31%
- YTD
- 30.63%
- 6M
- 29.34%
- 1Y
- 44.52%
- 3Y*
- 17.94%
- 5Y*
- 12.46%
- 10Y*
- 7.36%
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 | -8.16% | -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 | 30.63% | 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 0.16, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.16 |
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 Feb 2, 2009 | -0.27 |
The correlation between VXX and DJP shifts across timeframes, from -0.27 (all time) to 0.16 (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.
| VXX | DJP | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.33 | ||
| Sortino ratioReturn per unit of downside risk | -4.51 | ||
| Omega ratioGain probability vs. loss probability | 0.82 | 1.42 | -0.60 |
| Calmar ratioReturn relative to maximum drawdown | -0.95 | 5.20 | -6.15 |
| Martin ratioReturn relative to average drawdown | -1.34 | 13.30 | -14.64 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| VXX | DJP | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.96 | 2.36 | -3.33 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.68 | 0.66 | -1.34 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.66 | 0.43 | -1.09 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.77 | 0.00 | -0.77 |
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 | -56.23% | -8.61% | -47.62% |
Max Drawdown (3Y)Largest decline over 3 years | -80.28% | -13.41% | -66.87% |
Max Drawdown (5Y)Largest decline over 5 years | -95.68% | -28.98% | -66.70% |
Max Drawdown (10Y)Largest decline over 10 years | -99.86% | -38.36% | -61.50% |
Current DrawdownCurrent decline from peak | -100.00% | -32.82% | -67.18% |
Average DrawdownAverage peak-to-trough decline | -95.08% | -50.86% | -44.22% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 39.88% | 3.36% | +36.52% |
Volatility
VXX vs. DJP - Volatility Comparison
iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) has a higher volatility of 8.29% compared to iPath Bloomberg Commodity Index Total Return ETN (DJP) at 5.85%. 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 | 8.29% | 5.85% | +2.44% |
Volatility (6M)Calculated over the trailing 6-month period | 40.88% | 16.64% | +24.24% |
Volatility (1Y)Calculated over the trailing 1-year period | 55.57% | 18.92% | +36.65% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 67.96% | 18.96% | +49.00% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 70.96% | 17.06% | +53.90% |
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 0.16, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VXX has higher volatility (8.29%) compared to DJP (5.85%). In terms of maximum drawdown, VXX dropped -100.00% vs DJP's -78.35%.
On 10-year performance, DJP leads with 7.36% vs -46.78% for VXX. On fees, DJP is cheaper at 0.70% per year. On volatility, DJP has been the lower-risk option at 5.85%. 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 7.36% return vs -46.78%. 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 (2.36 vs -0.96), 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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