VXZ vs. SPY

Last updated Jun 3, 2026

VXZ (iPath Series B S&P 500® VIX Mid-Term Futures ETN) is a stock, while SPY (State Street SPDR S&P 500 ETF) is S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past 5 years, VXZ returned -13.12%/yr vs 14.20%/yr for SPY. At a correlation of -0.67, they often move in opposite directions. VXZ charges 0.89%/yr vs 0.09%/yr for SPY.

Performance

VXZ vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, VXZ achieves a 1.40% return, which is significantly lower than SPY's 11.69% return.

VXZ

• 1D: -0.37%
• 1M: -1.70%
• YTD: 1.40%
• 6M: -2.73%
• 1Y: -8.61%
• 3Y*: -12.48%
• 5Y*: -13.12%
• 10Y*: —

SPY

• 1D: 0.14%
• 1M: 5.40%
• YTD: 11.69%
• 6M: 12.09%
• 1Y: 29.62%
• 3Y*: 22.64%
• 5Y*: 14.20%
• 10Y*: 15.57%

*Multi-year figures are annualized to reflect compound growth (CAGR)

VXZ vs. SPY - 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	1.40%	5.73%	-12.65%	-43.98%	0.47%	-16.38%	72.77%	-20.10%	31.89%
SPY State Street SPDR S&P 500 ETF	11.69%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-8.77%

Correlation

The correlation between VXZ and SPY is -0.66, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.66
Correlation (3Y) Calculated over the trailing 3-year period	-0.67
Correlation (5Y) Calculated over the trailing 5-year period	-0.71
Correlation (All Time) Calculated using the full available price history since Jan 19, 2018	-0.67

The correlation between VXZ and SPY has been stable across timeframes, ranging from -0.71 to -0.66 - a consistent structural relationship.

Return for Risk

VXZ vs. SPY — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

VXZ

VXZ Risk / Return Rank: 20
VXZ Sharpe Ratio Rank: 21
VXZ Sortino Ratio Rank: 19
VXZ Omega Ratio Rank: 19
VXZ Calmar Ratio Rank: 20
VXZ Martin Ratio Rank: 20

SPY

SPY Risk / Return Rank: 75
SPY Sharpe Ratio Rank: 77
SPY Sortino Ratio Rank: 75
SPY Omega Ratio Rank: 76
SPY Calmar Ratio Rank: 68
SPY Martin Ratio Rank: 80

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

VXZ vs. SPY - 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 State Street SPDR S&P 500 ETF (SPY). 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.

	VXZ	SPY	Difference
Sharpe ratio Return per unit of total volatility	-0.45	2.52	-2.97
Sortino ratio Return per unit of downside risk	-0.51	3.42	-3.93
Omega ratio Gain probability vs. loss probability	0.94	1.46	-0.52
Calmar ratio Return relative to maximum drawdown	-0.58	3.42	-3.99
Martin ratio Return relative to average drawdown	-0.99	15.93	-16.92
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

VXZ vs. SPY - Sharpe Ratio Comparison

The current VXZ Sharpe Ratio is -0.45, which is lower than the SPY Sharpe Ratio of 2.52. The chart below compares the historical Sharpe Ratios of VXZ and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	VXZ	SPY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.45	2.52	-2.97
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.45	0.84	-1.29
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.87	—
Sharpe Ratio (All Time) Calculated using the full available price history	-0.08	0.59	-0.66

Drawdowns

VXZ vs. SPY - Drawdown Comparison

The maximum VXZ drawdown since its inception was -69.00%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for VXZ and SPY.

Drawdown Indicators

	VXZ	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-69.00%	-55.19%	-13.81%
Max Drawdown (1Y) Largest decline over 1 year	-14.67%	-8.88%	-5.79%
Max Drawdown (3Y) Largest decline over 3 years	-40.94%	-18.76%	-22.18%
Max Drawdown (5Y) Largest decline over 5 years	-62.05%	-24.50%	-37.55%
Max Drawdown (10Y) Largest decline over 10 years	—	-33.72%	—
Current Drawdown Current decline from peak	-64.82%	0.00%	-64.82%
Average Drawdown Average peak-to-trough decline	-36.76%	-9.05%	-27.71%
Ulcer Index Depth and duration of drawdowns from previous peaks	8.51%	1.91%	+6.60%

Volatility

VXZ vs. SPY - Volatility Comparison

iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) has a higher volatility of 3.73% compared to State Street SPDR S&P 500 ETF (SPY) at 2.75%. This indicates that VXZ's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	VXZ	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.73%	2.75%	+0.98%
Volatility (6M) Calculated over the trailing 6-month period	13.55%	8.89%	+4.66%
Volatility (1Y) Calculated over the trailing 1-year period	19.11%	11.81%	+7.30%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	29.16%	17.05%	+12.11%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	34.11%	17.94%	+16.17%

VXZ vs. SPY - Expense Ratio Comparison

VXZ has a 0.89% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

VXZ vs. SPY - Dividend Comparison

VXZ has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 0.97%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
SPY State Street SPDR S&P 500 ETF	0.97%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%
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%	0.00%	0.00%

Frequently Asked Questions

Can I hold both VXZ and SPY in my portfolio?

VXZ and SPY 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.

Which is riskier, VXZ or SPY?

VXZ has higher volatility (3.73%) compared to SPY (2.75%). In terms of maximum drawdown, VXZ dropped -69.00% vs SPY's -55.19%.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (2.52 vs -0.45), 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.