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

Correlation

The correlation between VXZ and SPY is 1.00, 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.


-0.50.00.51.0
Correlation: 1.0

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 SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

0.00%50.00%100.00%150.00%NovemberDecember2025FebruaryMarchApril
-6.70%
119.99%
VXZ
SPY

Key characteristics

Sharpe Ratio

VXZ:

0.38

SPY:

0.54

Sortino Ratio

VXZ:

0.92

SPY:

0.89

Omega Ratio

VXZ:

1.11

SPY:

1.13

Calmar Ratio

VXZ:

0.22

SPY:

0.58

Martin Ratio

VXZ:

0.94

SPY:

2.39

Ulcer Index

VXZ:

15.71%

SPY:

4.51%

Daily Std Dev

VXZ:

39.32%

SPY:

20.07%

Max Drawdown

VXZ:

-69.00%

SPY:

-55.19%

Current Drawdown

VXZ:

-59.09%

SPY:

-10.54%

Returns By Period

In the year-to-date period, VXZ achieves a 24.66% return, which is significantly higher than SPY's -6.44% return.


VXZ

YTD

24.66%

1M

21.55%

6M

21.77%

1Y

16.84%

5Y*

-14.29%

10Y*

N/A

SPY

YTD

-6.44%

1M

-5.00%

6M

-5.02%

1Y

9.54%

5Y*

15.80%

10Y*

11.95%

*Annualized

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Risk-Adjusted Performance

VXZ vs. SPY — Risk-Adjusted Performance Rank

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

VXZ
The Risk-Adjusted Performance Rank of VXZ is 6464
Overall Rank
The Sharpe Ratio Rank of VXZ is 6767
Sharpe Ratio Rank
The Sortino Ratio Rank of VXZ is 6565
Sortino Ratio Rank
The Omega Ratio Rank of VXZ is 6262
Omega Ratio Rank
The Calmar Ratio Rank of VXZ is 6363
Calmar Ratio Rank
The Martin Ratio Rank of VXZ is 6464
Martin Ratio Rank

SPY
The Risk-Adjusted Performance Rank of SPY is 6565
Overall Rank
The Sharpe Ratio Rank of SPY is 6262
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 6464
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 6565
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 6969
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 6767
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

VXZ vs. SPY - 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 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.


The chart of Sharpe ratio for VXZ, currently valued at 0.38, compared to the broader market-2.00-1.000.001.002.003.00
VXZ: 0.38
SPY: 0.54
The chart of Sortino ratio for VXZ, currently valued at 0.92, compared to the broader market-6.00-4.00-2.000.002.004.00
VXZ: 0.92
SPY: 0.89
The chart of Omega ratio for VXZ, currently valued at 1.11, compared to the broader market0.501.001.502.00
VXZ: 1.11
SPY: 1.13
The chart of Calmar ratio for VXZ, currently valued at 0.22, compared to the broader market0.001.002.003.004.005.00
VXZ: 0.22
SPY: 0.58
The chart of Martin ratio for VXZ, currently valued at 0.94, compared to the broader market-10.00-5.000.005.0010.0015.0020.00
VXZ: 0.94
SPY: 2.39

The current VXZ Sharpe Ratio is 0.38, which is comparable to the SPY Sharpe Ratio of 0.54. The chart below compares the historical Sharpe Ratios of VXZ and SPY, 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-1.000.001.002.003.004.00NovemberDecember2025FebruaryMarchApril
0.38
0.54
VXZ
SPY

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 1.31%.


TTM20242023202220212020201920182017201620152014
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%
SPY
SPDR S&P 500 ETF
1.31%1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%

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. For additional features, visit the drawdowns tool.


-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2025FebruaryMarchApril
-59.09%
-10.54%
VXZ
SPY

Volatility

VXZ vs. SPY - Volatility Comparison

iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) has a higher volatility of 22.19% compared to SPDR S&P 500 ETF (SPY) at 15.13%. 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.


0.00%5.00%10.00%15.00%20.00%NovemberDecember2025FebruaryMarchApril
22.19%
15.13%
VXZ
SPY