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VXX vs. VXZ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between VXX and VXZ is -0.68. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


-0.50.00.51.0
Correlation: -0.7

Performance

VXX vs. VXZ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) and iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ). The values are adjusted to include any dividend payments, if applicable.

-100.00%-80.00%-60.00%-40.00%-20.00%0.00%NovemberDecember2025FebruaryMarchApril
-96.23%
-6.70%
VXX
VXZ

Key characteristics

Sharpe Ratio

VXX:

0.16

VXZ:

0.38

Sortino Ratio

VXX:

1.07

VXZ:

0.92

Omega Ratio

VXX:

1.13

VXZ:

1.11

Calmar Ratio

VXX:

0.16

VXZ:

0.22

Martin Ratio

VXX:

0.40

VXZ:

0.94

Ulcer Index

VXX:

38.07%

VXZ:

15.71%

Daily Std Dev

VXX:

94.13%

VXZ:

39.32%

Max Drawdown

VXX:

-99.08%

VXZ:

-69.00%

Current Drawdown

VXX:

-98.51%

VXZ:

-59.09%

Returns By Period

In the year-to-date period, VXX achieves a 43.80% return, which is significantly higher than VXZ's 24.66% return.


VXX

YTD

43.80%

1M

43.80%

6M

24.71%

1Y

21.33%

5Y*

-52.38%

10Y*

N/A

VXZ

YTD

24.66%

1M

21.55%

6M

21.77%

1Y

16.84%

5Y*

-14.29%

10Y*

N/A

*Annualized

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Risk-Adjusted Performance

VXX vs. VXZ — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

VXX
The Risk-Adjusted Performance Rank of VXX is 4848
Overall Rank
The Sharpe Ratio Rank of VXX is 3636
Sharpe Ratio Rank
The Sortino Ratio Rank of VXX is 7070
Sortino Ratio Rank
The Omega Ratio Rank of VXX is 6666
Omega Ratio Rank
The Calmar Ratio Rank of VXX is 3838
Calmar Ratio Rank
The Martin Ratio Rank of VXX is 3232
Martin Ratio Rank

VXZ
The Risk-Adjusted Performance Rank of VXZ is 6464
Overall Rank
The Sharpe Ratio Rank of VXZ is 6767
Sharpe Ratio Rank
The Sortino Ratio Rank of VXZ is 6565
Sortino Ratio Rank
The Omega Ratio Rank of VXZ is 6262
Omega Ratio Rank
The Calmar Ratio Rank of VXZ is 6363
Calmar Ratio Rank
The Martin Ratio Rank of VXZ is 6464
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

VXX vs. VXZ - Risk-Adjusted Performance 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 Series B S&P 500® VIX Mid-Term Futures ETN (VXZ). 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.


The chart of Sharpe ratio for VXX, currently valued at 0.16, compared to the broader market-1.000.001.002.003.004.00
VXX: 0.16
VXZ: 0.38
The chart of Sortino ratio for VXX, currently valued at 1.07, compared to the broader market-2.000.002.004.006.008.00
VXX: 1.07
VXZ: 0.92
The chart of Omega ratio for VXX, currently valued at 1.13, compared to the broader market0.501.001.502.00
VXX: 1.13
VXZ: 1.11
The chart of Calmar ratio for VXX, currently valued at 0.16, compared to the broader market0.002.004.006.008.0010.0012.00
VXX: 0.16
VXZ: 0.22
The chart of Martin ratio for VXX, currently valued at 0.40, compared to the broader market0.0020.0040.0060.00
VXX: 0.40
VXZ: 0.94

The current VXX Sharpe Ratio is 0.16, which is lower than the VXZ Sharpe Ratio of 0.38. The chart below compares the historical Sharpe Ratios of VXX and VXZ, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.50NovemberDecember2025FebruaryMarchApril
0.16
0.38
VXX
VXZ

Dividends

VXX vs. VXZ - Dividend Comparison

Neither VXX nor VXZ has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

VXX vs. VXZ - Drawdown Comparison

The maximum VXX drawdown since its inception was -99.08%, which is greater than VXZ's maximum drawdown of -69.00%. Use the drawdown chart below to compare losses from any high point for VXX and VXZ. For additional features, visit the drawdowns tool.


-100.00%-90.00%-80.00%-70.00%-60.00%NovemberDecember2025FebruaryMarchApril
-98.51%
-59.09%
VXX
VXZ

Volatility

VXX vs. VXZ - Volatility Comparison

iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) has a higher volatility of 47.70% compared to iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) at 22.19%. This indicates that VXX's price experiences larger fluctuations and is considered to be riskier than VXZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%10.00%20.00%30.00%40.00%50.00%NovemberDecember2025FebruaryMarchApril
47.70%
22.19%
VXX
VXZ