VXZ vs. SPDN
Compare and contrast key facts about iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) and Direxion Daily S&P 500 Bear 1x Shares (SPDN).
VXZ is a passively managed fund by Barclays Capital that tracks the performance of the S&P 500 VIX Mid-Term Futures Index Total Return. It was launched on Jan 17, 2018. SPDN is a passively managed fund by Direxion that tracks the performance of the S&P 500 Index. It was launched on Jun 8, 2016. Both VXZ and SPDN are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VXZ or SPDN.
Key characteristics
| VXZ | SPDN | |
|---|---|---|
| YTD Return | -15.88% | -15.37% |
| 1Y Return | -24.49% | -22.34% |
| 3Y Return (Ann) | -22.02% | -5.89% |
| 5Y Return (Ann) | -8.33% | -14.02% |
| Sharpe Ratio | -0.75 | -1.76 |
| Sortino Ratio | -1.10 | -2.57 |
| Omega Ratio | 0.88 | 0.72 |
| Calmar Ratio | -0.33 | -0.31 |
| Martin Ratio | -1.28 | -1.50 |
| Ulcer Index | 17.60% | 14.48% |
| Daily Std Dev | 30.07% | 12.33% |
| Max Drawdown | -68.91% | -70.57% |
| Current Drawdown | -68.40% | -70.57% |
Correlation
The correlation between VXZ and SPDN is 0.66, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
VXZ vs. SPDN - Performance Comparison
The year-to-date returns for both investments are quite close, with VXZ having a -15.88% return and SPDN slightly higher at -15.37%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
VXZ vs. SPDN - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) and Direxion Daily S&P 500 Bear 1x Shares (SPDN). 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.
Dividends
VXZ vs. SPDN - Dividend Comparison
VXZ has not paid dividends to shareholders, while SPDN's dividend yield for the trailing twelve months is around 6.10%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
VXZ iPath Series B S&P 500® VIX Mid-Term Futures ETN | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPDN Direxion Daily S&P 500 Bear 1x Shares | 6.10% | 5.84% | 0.96% | 0.00% | 0.10% | 1.88% | 1.24% | 0.42% |
Drawdowns
VXZ vs. SPDN - Drawdown Comparison
The maximum VXZ drawdown since its inception was -68.91%, roughly equal to the maximum SPDN drawdown of -70.57%. Use the drawdown chart below to compare losses from any high point for VXZ and SPDN. For additional features, visit the drawdowns tool.
Volatility
VXZ vs. SPDN - Volatility Comparison
iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) has a higher volatility of 8.58% compared to Direxion Daily S&P 500 Bear 1x Shares (SPDN) at 3.95%. This indicates that VXZ's price experiences larger fluctuations and is considered to be riskier than SPDN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.