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 -13.55%/yr vs -14.38%/yr for VIXM. Their correlation of 0.91 suggests significant overlap in exposure. VXZ charges 0.89%/yr vs 0.85%/yr for VIXM.
Performance
VXZ vs. VIXM - Performance Comparison
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Returns By Period
The year-to-date returns for both stocks are quite close, with VXZ having a -5.72% return and VIXM slightly lower at -5.83%.
VXZ
- 1D
- -0.06%
- 1M
- -5.96%
- 6M
- -3.69%
- YTD
- -5.72%
- 1Y
- -13.08%
- 3Y*
- -9.32%
- 5Y*
- -13.55%
- 10Y*
- —
VIXM
- 1D
- 0.49%
- 1M
- -5.64%
- 6M
- -3.49%
- YTD
- -5.83%
- 1Y
- -13.43%
- 3Y*
- -9.98%
- 5Y*
- -14.38%
- 10Y*
- -11.64%
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 | -5.72% | 5.73% | -12.65% | -43.98% | 0.47% | -16.38% | 72.77% | -20.10% | 31.89% |
VIXM ProShares VIX Mid-Term Futures ETF | -5.83% | 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, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.95 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.97 |
Correlation (5Y) Calculated over the trailing 5-year 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 | +0.02 | ||
| Sortino ratioReturn per unit of downside risk | +0.02 | ||
| Omega ratioGain probability vs. loss probability | 0.90 | 0.89 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | -0.69 | -0.70 | +0.01 |
| Martin ratioReturn relative to average drawdown | -1.43 | -1.46 | +0.03 |
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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 | -18.89% | -19.16% | +0.27% |
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 | — | -72.55% | — |
Current DrawdownCurrent decline from peak | -67.29% | -96.05% | +28.76% |
Average DrawdownAverage peak-to-trough decline | -37.12% | -81.59% | +44.47% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.15% | 9.23% | -0.08% |
Volatility
VXZ vs. VIXM - Volatility Comparison
The current volatility for iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) is 3.29%, while ProShares VIX Mid-Term Futures ETF (VIXM) has a volatility of 3.55%. This indicates that VXZ experiences smaller price fluctuations and is considered to be less risky 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 | 3.29% | 3.55% | -0.26% |
Volatility (6M)Calculated over the trailing 6-month period | 13.60% | 14.02% | -0.42% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.65% | 18.66% | -0.01% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 29.04% | 30.60% | -1.56% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 33.92% | 32.63% | +1.29% |
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.
VIXM has higher volatility (3.55%) compared to VXZ (3.29%). In terms of maximum drawdown, VXZ dropped -69.00% vs VIXM's -96.23%.
VXZ currently has the higher Sharpe Ratio (-0.71 vs -0.72), 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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