VXZ vs. SPDN
VXZ (iPath Series B S&P 500® VIX Mid-Term Futures ETN) is a stock, while SPDN (Direxion Daily S&P 500 Bear 1x Shares) is Inverse Equities fund tracking the S&P 500 Index. Both are passively managed. Over the past 5 years, VXZ returned -12.28%/yr vs -8.36%/yr for SPDN. A 0.67 correlation means they provide meaningful diversification when combined. VXZ charges 0.89%/yr vs 0.50%/yr for SPDN.
Performance
VXZ vs. SPDN - Performance Comparison
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Returns By Period
In the year-to-date period, VXZ achieves a -1.72% return, which is significantly higher than SPDN's -6.10% return.
VXZ
- 1D
- 0.12%
- 1M
- -4.99%
- YTD
- -1.72%
- 6M
- 0.35%
- 1Y
- -12.57%
- 3Y*
- -11.20%
- 5Y*
- -12.28%
- 10Y*
- —
SPDN
- 1D
- 0.69%
- 1M
- 0.80%
- YTD
- -6.10%
- 6M
- -5.09%
- 1Y
- -14.93%
- 3Y*
- -11.95%
- 5Y*
- -8.36%
- 10Y*
- -12.66%
VXZ vs. SPDN - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
VXZ iPath Series B S&P 500® VIX Mid-Term Futures ETN | -1.72% | 5.73% | -12.65% | -43.98% | 0.47% | -16.38% | 72.77% | -20.10% | 31.89% |
SPDN Direxion Daily S&P 500 Bear 1x Shares | -6.10% | -11.09% | -12.88% | -15.04% | 18.63% | -23.72% | -24.56% | -21.94% | 10.35% |
Correlation
The correlation between VXZ and SPDN is 0.66, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.66 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.68 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.71 |
Correlation (All Time) Calculated using the full available price history since Jan 18, 2018 | 0.67 |
The correlation between VXZ and SPDN has been stable across timeframes, ranging from 0.66 to 0.71 - a consistent structural relationship.
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Return for Risk
VXZ vs. SPDN — Risk / Return Rank
VXZ
SPDN
VXZ vs. SPDN - Risk-Adjusted Trends 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.
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.
| VXZ | SPDN | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.52 | ||
| Sortino ratioReturn per unit of downside risk | +0.87 | ||
| Omega ratioGain probability vs. loss probability | 0.90 | 0.81 | +0.09 |
| Calmar ratioReturn relative to maximum drawdown | -0.83 | -0.93 | +0.10 |
| Martin ratioReturn relative to average drawdown | -1.54 | -1.75 | +0.21 |
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Drawdowns
VXZ vs. SPDN - Drawdown Comparison
The maximum VXZ drawdown since its inception was -69.00%, smaller than the maximum SPDN drawdown of -75.31%. Use the drawdown chart below to compare losses from any high point for VXZ and SPDN.
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Drawdown Indicators
| VXZ | SPDN | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -69.00% | -75.31% | +6.31% |
Max Drawdown (1Y)Largest decline over 1 year | -15.13% | -16.05% | +0.92% |
Max Drawdown (3Y)Largest decline over 3 years | -36.45% | -38.24% | +1.79% |
Max Drawdown (5Y)Largest decline over 5 years | -62.05% | -43.85% | -18.20% |
Max Drawdown (10Y)Largest decline over 10 years | — | -75.31% | — |
Current DrawdownCurrent decline from peak | -65.90% | -74.71% | +8.81% |
Average DrawdownAverage peak-to-trough decline | -36.93% | -48.66% | +11.73% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 8.36% | 9.44% | -1.08% |
Volatility
VXZ vs. SPDN - Volatility Comparison
The current volatility for iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) is 4.05%, while Direxion Daily S&P 500 Bear 1x Shares (SPDN) has a volatility of 4.51%. This indicates that VXZ experiences smaller price fluctuations and is considered to be less risky than SPDN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| VXZ | SPDN | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.05% | 4.51% | -0.46% |
Volatility (6M)Calculated over the trailing 6-month period | 13.78% | 9.82% | +3.96% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.74% | 12.59% | +6.15% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 29.07% | 16.95% | +12.12% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 34.01% | 18.04% | +15.97% |
VXZ vs. SPDN - Expense Ratio Comparison
VXZ has a 0.89% expense ratio, which is higher than SPDN's 0.50% expense ratio.
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 4.02%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
SPDN Direxion Daily S&P 500 Bear 1x Shares | 4.02% | 4.06% | 5.32% | 5.84% | 0.96% | 0.00% | 0.10% | 1.89% | 1.24% | 0.42% |
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% | 0.00% | 0.00% |
Frequently Asked Questions
VXZ and SPDN have a correlation of 0.66, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPDN has higher volatility (4.51%) compared to VXZ (4.05%). In terms of maximum drawdown, VXZ dropped -69.00% vs SPDN's -75.31%.
VXZ currently has the higher Sharpe Ratio (-0.67 vs -1.19), 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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