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 -45.89%/yr vs -13.07%/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 -14.92% return, which is significantly lower than VXZ's -3.72% return.
VXX
- 1D
- 4.50%
- 1M
- -5.66%
- 6M
- -13.38%
- YTD
- -14.92%
- 1Y
- -47.40%
- 3Y*
- -37.71%
- 5Y*
- -45.89%
- 10Y*
- -46.34%
- ALL TIME*
- -51.32%
VXZ
- 1D
- 1.27%
- 1M
- -2.04%
- 6M
- -1.09%
- YTD
- -3.72%
- 1Y
- -11.39%
- 3Y*
- -8.65%
- 5Y*
- -13.07%
- 10Y*
- —
- ALL TIME*
- -3.15%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $151.88M | $166.63M | $218.95M | |
| $1.19M | $967.24K | $806.46K |
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 | -14.92% | -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 | -3.72% | 5.73% | -12.65% | -43.98% | 0.47% | -16.38% | 72.77% | -20.10% | 31.89% |
Correlation
The correlation between VXX and VXZ is 0.90, 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 | 0.90 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.90 |
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 0.90 - 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 | -0.22 | ||
| Sortino ratioReturn per unit of downside risk | -0.47 | ||
| Omega ratioGain probability vs. loss probability | 0.86 | 0.91 | -0.05 |
| Calmar ratioReturn relative to maximum drawdown | -0.87 | -0.60 | -0.28 |
| Martin ratioReturn relative to average drawdown | -1.36 | -1.18 | -0.19 |
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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 | -54.59% | -19.20% | -35.39% |
Max Drawdown (3Y)Largest decline over 3 years | -80.75% | -36.45% | -44.30% |
Max Drawdown (5Y)Largest decline over 5 years | -95.85% | -62.05% | -33.80% |
Max Drawdown (10Y)Largest decline over 10 years | -99.81% | — | — |
Current DrawdownCurrent decline from peak | -100.00% | -66.59% | -33.41% |
Average DrawdownAverage peak-to-trough decline | -95.10% | -37.23% | -57.87% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 34.80% | 9.69% | +25.11% |
Volatility
VXX vs. VXZ - Volatility Comparison
iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) has a higher volatility of 11.82% compared to iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) at 3.56%. 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 | 11.82% | 3.56% | +8.26% |
Volatility (6M)Calculated over the trailing 6-month period | 41.98% | 13.49% | +28.49% |
Volatility (1Y)Calculated over the trailing 1-year period | 56.81% | 18.74% | +38.07% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 67.56% | 28.97% | +38.59% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 70.31% | 33.87% | +36.44% |
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
VXX and VXZ have a correlation of 0.90, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VXX has higher volatility (11.82%) compared to VXZ (3.56%). In terms of maximum drawdown, VXX dropped -100.00% vs VXZ's -69.00%.
VXZ currently has the higher Sharpe Ratio (-0.61 vs -0.84), 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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