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

Correlation

The correlation between VXX and VXZ is 0.81, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.8

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%JulyAugustSeptemberOctoberNovemberDecember
-97.24%
-23.12%
VXX
VXZ

Key characteristics

Sharpe Ratio

VXX:

-0.40

VXZ:

-0.46

Sortino Ratio

VXX:

-0.20

VXZ:

-0.54

Omega Ratio

VXX:

0.98

VXZ:

0.94

Calmar Ratio

VXX:

-0.31

VXZ:

-0.21

Martin Ratio

VXX:

-0.93

VXZ:

-0.93

Ulcer Index

VXX:

33.49%

VXZ:

15.31%

Daily Std Dev

VXX:

78.04%

VXZ:

31.02%

Max Drawdown

VXX:

-99.08%

VXZ:

-69.00%

Current Drawdown

VXX:

-98.91%

VXZ:

-66.29%

Returns By Period

In the year-to-date period, VXX achieves a -22.55% return, which is significantly lower than VXZ's -10.27% return.


VXX

YTD

-22.55%

1M

0.90%

6M

6.47%

1Y

-27.63%

5Y*

-45.20%

10Y*

N/A

VXZ

YTD

-10.27%

1M

5.62%

6M

2.87%

1Y

-12.98%

5Y*

-5.92%

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

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.


Sharpe ratio
The chart of Sharpe ratio for VXX, currently valued at -0.40, compared to the broader market0.002.004.00-0.40-0.46
The chart of Sortino ratio for VXX, currently valued at -0.20, compared to the broader market-2.000.002.004.006.008.0010.00-0.20-0.54
The chart of Omega ratio for VXX, currently valued at 0.98, compared to the broader market0.501.001.502.002.503.000.980.94
The chart of Calmar ratio for VXX, currently valued at -0.31, compared to the broader market0.005.0010.0015.00-0.31-0.21
The chart of Martin ratio for VXX, currently valued at -0.93, compared to the broader market0.0020.0040.0060.0080.00100.00-0.93-0.93
VXX
VXZ

The current VXX Sharpe Ratio is -0.40, which is comparable to the VXZ Sharpe Ratio of -0.46. 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-1.40-1.20-1.00-0.80-0.60-0.40-0.20JulyAugustSeptemberOctoberNovemberDecember
-0.40
-0.46
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%JulyAugustSeptemberOctoberNovemberDecember
-98.91%
-66.29%
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 25.29% compared to iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) at 10.59%. 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%JulyAugustSeptemberOctoberNovemberDecember
25.29%
10.59%
VXX
VXZ
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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