VXZ vs. VIXM
VXZ (iPath Series B S&P 500® VIX Mid-Term Futures ETN) is a stock, while VIXM (ProShares VIX Mid-Term Futures ETF) is Volatility fund tracking the S&P 500 VIX Mid-Term Futures Index. Both are passively managed. Over the past 5 years, VXZ returned -13.66%/yr vs -14.51%/yr for VIXM. Their correlation of 0.91 means they have usually moved in the same direction. VXZ charges 0.89%/yr vs 0.85%/yr for VIXM.
Performance
VXZ vs. VIXM - Performance Comparison
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Returns By Period
In the year-to-date period, VXZ achieves a -4.62% return, which is significantly higher than VIXM's -5.24% 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%
VIXM
- 1D
- -0.69%
- 1M
- 1.05%
- 6M
- -5.55%
- YTD
- -5.24%
- 1Y
- -15.13%
- 3Y*
- -9.59%
- 5Y*
- -14.51%
- 10Y*
- -11.39%
- ALL TIME*
- -18.01%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $5.30M | $4.78M | $4.32M | |
| $603.06K | $845.13K | $781.77K |
VXZ vs. VIXM - 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% |
VIXM ProShares VIX Mid-Term Futures ETF | -5.24% | 5.60% | -13.67% | -44.83% | -0.69% | -16.70% | 72.38% | -20.38% | 31.21% |
Correlation
The correlation between VXZ and VIXM is 0.95 - they have historically moved very closely together. At this level, their price movements offset little of one another.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.95 |
Correlation (3Y) Balances recent behavior with more history. | 0.97 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.97 |
Correlation (All Time) Calculated using the full available price history since Jan 18, 2018 | 0.91 |
The correlation between VXZ and VIXM has been stable across timeframes, ranging from 0.91 to 0.97 - a consistent structural relationship.
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Return for Risk
VXZ vs. VIXM — Risk / Return Rank
VXZ
VIXM
VXZ vs. VIXM - 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 ProShares VIX Mid-Term Futures ETF (VIXM). 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 | VIXM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.05 | ||
| Sortino ratioReturn per unit of downside risk | +0.07 | ||
| Omega ratioGain probability vs. loss probability | 0.90 | 0.89 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | -0.67 | -0.71 | +0.04 |
| Martin ratioReturn relative to average drawdown | -1.28 | -1.36 | +0.08 |
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Drawdowns
VXZ vs. VIXM - Drawdown Comparison
The maximum VXZ drawdown since its inception was -69.00%, smaller than the maximum VIXM drawdown of -96.23%. Use the drawdown chart below to compare losses from any high point for VXZ and VIXM.
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Drawdown Indicators
| VXZ | VIXM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -69.00% | -96.23% | +27.23% |
Max Drawdown (1Y)Largest decline over 1 year | -19.20% | -19.36% | +0.16% |
Max Drawdown (3Y)Largest decline over 3 years | -36.45% | -37.26% | +0.81% |
Max Drawdown (5Y)Largest decline over 5 years | -62.05% | -63.40% | +1.35% |
Max Drawdown (10Y)Largest decline over 10 years | — | -72.34% | — |
Current DrawdownCurrent decline from peak | -66.90% | -96.03% | +29.13% |
Average DrawdownAverage peak-to-trough decline | -37.31% | -81.64% | +44.33% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 10.04% | 10.14% | -0.10% |
Volatility
VXZ vs. VIXM - Volatility Comparison
iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) has a higher volatility of 3.69% compared to ProShares VIX Mid-Term Futures ETF (VIXM) at 3.08%. This indicates that VXZ's price experiences larger fluctuations and is considered to be riskier than VIXM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| VXZ | VIXM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.69% | 3.08% | +0.61% |
Volatility (6M)Calculated over the trailing 6-month period | 13.55% | 13.78% | -0.23% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.60% | 18.49% | +0.11% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 28.95% | 30.50% | -1.55% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 33.83% | 32.61% | +1.22% |
VXZ vs. VIXM - Expense Ratio Comparison
VXZ has a 0.89% expense ratio, which is higher than VIXM's 0.85% expense ratio.
Dividends
VXZ vs. VIXM - Dividend Comparison
Neither VXZ nor VIXM has paid dividends to shareholders.
Frequently Asked Questions
With a correlation of 0.95, VXZ and VIXM move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
VXZ has higher volatility (3.69%) compared to VIXM (3.08%). In terms of maximum drawdown, VXZ dropped -69.00% vs VIXM's -96.23%.
VXZ currently has the higher Sharpe Ratio (-0.69 vs -0.74), 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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