VXZ vs. SPY
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 -13.66%/yr vs 12.76%/yr for SPY. Their -0.67 correlation means they have often moved in opposite directions in the past. VXZ charges 0.89%/yr vs 0.09%/yr for SPY.
Performance
VXZ vs. SPY - Performance Comparison
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Returns By Period
In the year-to-date period, VXZ achieves a -4.62% return, which is significantly lower than SPY's 10.13% return.
VXZ
- 1D
- -0.08%
- 1M
- 1.31%
- 6M
- -4.72%
- YTD
- -4.62%
- 1Y
- -14.50%
- 3Y*
- -8.83%
- 5Y*
- -13.66%
- 10Y*
- —
- ALL TIME*
- -3.24%
SPY
- 1D
- 0.72%
- 1M
- 0.30%
- 6M
- 8.53%
- YTD
- 10.13%
- 1Y
- 21.49%
- 3Y*
- 19.32%
- 5Y*
- 12.76%
- 10Y*
- 15.07%
- ALL TIME*
- 10.79%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $37.27B | $35.99B | $39.23B | |
| $603.06K | $845.13K | $781.77K |
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 | -4.62% | 5.73% | -12.65% | -43.98% | 0.47% | -16.38% | 72.77% | -20.10% | 31.89% |
SPY State Street SPDR S&P 500 ETF | 10.13% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -8.92% |
Correlation
The correlation between VXZ and SPY is -0.68, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.68 |
Correlation (3Y) Balances recent behavior with more history. | -0.69 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.71 |
Correlation (All Time) Calculated using the full available price history since Jan 18, 2018 | -0.67 |
The correlation between VXZ and SPY has been stable across timeframes, ranging from -0.71 to -0.67 - a consistent structural relationship.
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Return for Risk
VXZ vs. SPY — Risk / Return Rank
VXZ
SPY
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.
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 | SPY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.21 | ||
| Sortino ratioReturn per unit of downside risk | -2.99 | ||
| Omega ratioGain probability vs. loss probability | 0.90 | 1.27 | -0.37 |
| Calmar ratioReturn relative to maximum drawdown | -0.67 | 2.20 | -2.87 |
| Martin ratioReturn relative to average drawdown | -1.28 | 9.40 | -10.68 |
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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.
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Drawdown Indicators
| VXZ | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -69.00% | -55.19% | -13.81% |
Max Drawdown (1Y)Largest decline over 1 year | -19.20% | -8.88% | -10.32% |
Max Drawdown (3Y)Largest decline over 3 years | -36.45% | -18.76% | -17.69% |
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 DrawdownCurrent decline from peak | -66.90% | -1.40% | -65.50% |
Average DrawdownAverage peak-to-trough decline | -37.31% | -9.01% | -28.30% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 10.04% | 2.08% | +7.96% |
Volatility
VXZ vs. SPY - Volatility Comparison
iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) and State Street SPDR S&P 500 ETF (SPY) have volatilities of 3.69% and 3.58%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| VXZ | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.69% | 3.58% | +0.11% |
Volatility (6M)Calculated over the trailing 6-month period | 13.55% | 10.14% | +3.41% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.60% | 12.89% | +5.71% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 28.95% | 17.18% | +11.77% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 33.83% | 17.95% | +15.88% |
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 1.01%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SPY State Street SPDR S&P 500 ETF | 1.01% | 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
VXZ and SPY have a correlation of -0.68, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VXZ has higher volatility (3.69%) compared to SPY (3.58%). In terms of maximum drawdown, VXZ dropped -69.00% vs SPY's -55.19%.
SPY currently has the higher Sharpe Ratio (1.52 vs -0.69), 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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