VXX vs. VXZ
VXX (iPath Series B S&P 500 VIX Short-Term Futures ETN) is Volatility fund tracking the S&P 500 VIX Short-Term Futures Index Total Return, while VXZ (iPath Series B S&P 500® VIX Mid-Term Futures ETN) is a stock. Both are passively managed. Over the past 5 years, VXX returned -45.28%/yr vs -12.09%/yr for VXZ. Their correlation of 0.83 suggests significant overlap in exposure. Both charge a 0.89% expense ratio.
Performance
VXX vs. VXZ - Performance Comparison
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Returns By Period
In the year-to-date period, VXX achieves a -8.58% return, which is significantly lower than VXZ's 0.25% return.
VXX
- 1D
- -4.42%
- 1M
- -14.70%
- YTD
- -8.58%
- 6M
- -18.05%
- 1Y
- -52.70%
- 3Y*
- -40.29%
- 5Y*
- -45.28%
- 10Y*
- -47.94%
VXZ
- 1D
- -0.57%
- 1M
- -4.65%
- YTD
- 0.25%
- 6M
- -1.19%
- 1Y
- -9.44%
- 3Y*
- -11.09%
- 5Y*
- -12.09%
- 10Y*
- —
VXX vs. VXZ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
VXX iPath Series B S&P 500 VIX Short-Term Futures ETN | -8.58% | -42.21% | -26.22% | -72.52% | -23.80% | -72.41% | 11.04% | -67.75% | 74.73% |
VXZ iPath Series B S&P 500® VIX Mid-Term Futures ETN | 0.25% | 5.73% | -12.65% | -43.98% | 0.47% | -16.38% | 72.77% | -20.10% | 31.89% |
Correlation
The correlation between VXX and VXZ is 0.91, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.91 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.91 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.88 |
Correlation (All Time) Calculated using the full available price history since Jan 18, 2018 | 0.83 |
The correlation between VXX and VXZ has been stable across timeframes, ranging from 0.83 to 0.91 - a consistent structural relationship.
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Return for Risk
VXX vs. VXZ — Risk / Return Rank
VXX
VXZ
VXX vs. VXZ - 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 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.
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 | VXZ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.44 | ||
| Sortino ratioReturn per unit of downside risk | -0.91 | ||
| Omega ratioGain probability vs. loss probability | 0.83 | 0.93 | -0.10 |
| Calmar ratioReturn relative to maximum drawdown | -0.92 | -0.65 | -0.27 |
| Martin ratioReturn relative to average drawdown | -1.29 | -1.08 | -0.21 |
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Drawdowns
VXX vs. VXZ - Drawdown Comparison
The maximum VXX drawdown since its inception was -100.00%, 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.
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Drawdown Indicators
| VXX | VXZ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -100.00% | -69.00% | -31.00% |
Max Drawdown (1Y)Largest decline over 1 year | -57.39% | -14.67% | -42.72% |
Max Drawdown (3Y)Largest decline over 3 years | -79.24% | -37.28% | -41.96% |
Max Drawdown (5Y)Largest decline over 5 years | -95.79% | -62.05% | -33.74% |
Max Drawdown (10Y)Largest decline over 10 years | -99.86% | — | — |
Current DrawdownCurrent decline from peak | -100.00% | -65.22% | -34.78% |
Average DrawdownAverage peak-to-trough decline | -95.07% | -36.85% | -58.22% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 40.90% | 8.79% | +32.11% |
Volatility
VXX vs. VXZ - Volatility Comparison
iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) has a higher volatility of 14.13% compared to iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) at 3.50%. 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.
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Volatility by Period
| VXX | VXZ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 14.13% | 3.50% | +10.63% |
Volatility (6M)Calculated over the trailing 6-month period | 42.36% | 13.64% | +28.72% |
Volatility (1Y)Calculated over the trailing 1-year period | 56.64% | 19.17% | +37.47% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 68.04% | 29.09% | +38.95% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 70.83% | 34.05% | +36.78% |
VXX vs. VXZ - Expense Ratio Comparison
Both VXX and VXZ have an expense ratio of 0.89%.
Dividends
VXX vs. VXZ - Dividend Comparison
Neither VXX nor VXZ has paid dividends to shareholders.
Frequently Asked Questions
With a correlation of 0.91, VXX and VXZ move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
VXX has higher volatility (14.13%) compared to VXZ (3.50%). In terms of maximum drawdown, VXX dropped -100.00% vs VXZ's -69.00%.
VXZ currently has the higher Sharpe Ratio (-0.49 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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