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 -12.28%/yr vs -13.09%/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 -1.72% return and VIXM slightly lower at -1.77%.
VXZ
- 1D
- 0.12%
- 1M
- -4.99%
- YTD
- -1.72%
- 6M
- 0.35%
- 1Y
- -12.57%
- 3Y*
- -11.20%
- 5Y*
- -12.28%
- 10Y*
- —
VIXM
- 1D
- 0.67%
- 1M
- -4.64%
- YTD
- -1.77%
- 6M
- 0.07%
- 1Y
- -12.74%
- 3Y*
- -11.89%
- 5Y*
- -13.09%
- 10Y*
- -12.28%
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 | -1.72% | 5.73% | -12.65% | -43.98% | 0.47% | -16.38% | 72.77% | -20.10% | 31.89% |
VIXM ProShares VIX Mid-Term Futures ETF | -1.77% | 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 | +0.01 | ||
| Sortino ratioReturn per unit of downside risk | +0.01 | ||
| Omega ratioGain probability vs. loss probability | 0.90 | 0.90 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | -0.83 | -0.82 | -0.01 |
| Martin ratioReturn relative to average drawdown | -1.54 | -1.55 | +0.01 |
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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 | -15.13% | -15.53% | +0.40% |
Max Drawdown (3Y)Largest decline over 3 years | -36.45% | -37.35% | +0.90% |
Max Drawdown (5Y)Largest decline over 5 years | -62.05% | -63.40% | +1.35% |
Max Drawdown (10Y)Largest decline over 10 years | — | -75.56% | — |
Current DrawdownCurrent decline from peak | -65.90% | -95.88% | +29.98% |
Average DrawdownAverage peak-to-trough decline | -36.93% | -81.54% | +44.61% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 8.36% | 8.43% | -0.07% |
Volatility
VXZ vs. VIXM - Volatility Comparison
iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) and ProShares VIX Mid-Term Futures ETF (VIXM) have volatilities of 4.05% and 4.20%, 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 | VIXM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.05% | 4.20% | -0.15% |
Volatility (6M)Calculated over the trailing 6-month period | 13.78% | 14.13% | -0.35% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.74% | 18.70% | +0.04% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 29.07% | 30.62% | -1.55% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 34.01% | 32.68% | +1.33% |
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 (4.20%) compared to VXZ (4.05%). In terms of maximum drawdown, VXZ dropped -69.00% vs VIXM's -96.23%.
VXZ currently has the higher Sharpe Ratio (-0.67 vs -0.68), 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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