VXZ vs. VXX
VXZ (iPath Series B S&P 500® VIX Mid-Term Futures ETN) is a stock, while VXX (iPath Series B S&P 500 VIX Short-Term Futures ETN) is Volatility fund tracking the S&P 500 VIX Short-Term Futures Index Total Return. Both are passively managed. Over the past 5 years, VXZ returned -13.55%/yr vs -45.73%/yr for VXX. Their correlation of 0.83 suggests significant overlap in exposure. Both charge a 0.89% expense ratio.
Performance
VXZ vs. VXX - Performance Comparison
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Returns By Period
In the year-to-date period, VXZ achieves a -5.72% return, which is significantly higher than VXX's -17.72% return.
VXZ
- 1D
- -0.06%
- 1M
- -5.96%
- 6M
- -3.69%
- YTD
- -5.72%
- 1Y
- -13.08%
- 3Y*
- -9.32%
- 5Y*
- -13.55%
- 10Y*
- —
VXX
- 1D
- 3.08%
- 1M
- -10.00%
- 6M
- -15.71%
- YTD
- -17.72%
- 1Y
- -51.81%
- 3Y*
- -38.94%
- 5Y*
- -45.73%
- 10Y*
- -46.79%
VXZ vs. VXX - 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% |
VXX iPath Series B S&P 500 VIX Short-Term Futures ETN | -17.72% | -42.21% | -26.22% | -72.52% | -23.80% | -72.41% | 11.04% | -67.75% | 74.73% |
Correlation
The correlation between VXZ and VXX is 0.89, 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 | 0.89 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.90 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.88 |
Correlation (All Time) Calculated using the full available price history since Jan 18, 2018 | 0.83 |
The correlation between VXZ and VXX has been stable across timeframes, ranging from 0.83 to 0.90 - a consistent structural relationship.
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Return for Risk
VXZ vs. VXX — Risk / Return Rank
VXZ
VXX
VXZ vs. VXX - 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 iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX). 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 | VXX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.22 | ||
| Sortino ratioReturn per unit of downside risk | +0.57 | ||
| Omega ratioGain probability vs. loss probability | 0.90 | 0.84 | +0.06 |
| Calmar ratioReturn relative to maximum drawdown | -0.69 | -0.96 | +0.27 |
| Martin ratioReturn relative to average drawdown | -1.43 | -1.55 | +0.11 |
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Drawdowns
VXZ vs. VXX - Drawdown Comparison
The maximum VXZ drawdown since its inception was -69.00%, smaller than the maximum VXX drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for VXZ and VXX.
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Drawdown Indicators
| VXZ | VXX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -69.00% | -100.00% | +31.00% |
Max Drawdown (1Y)Largest decline over 1 year | -18.89% | -53.98% | +35.09% |
Max Drawdown (3Y)Largest decline over 3 years | -36.45% | -80.49% | +44.04% |
Max Drawdown (5Y)Largest decline over 5 years | -62.05% | -96.22% | +34.17% |
Max Drawdown (10Y)Largest decline over 10 years | — | -99.82% | — |
Current DrawdownCurrent decline from peak | -67.29% | -100.00% | +32.71% |
Average DrawdownAverage peak-to-trough decline | -37.12% | -95.09% | +57.97% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.15% | 33.53% | -24.38% |
Volatility
VXZ vs. VXX - Volatility Comparison
The current volatility for iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) is 3.29%, while iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) has a volatility of 14.39%. This indicates that VXZ experiences smaller price fluctuations and is considered to be less risky than VXX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| VXZ | VXX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.29% | 14.39% | -11.10% |
Volatility (6M)Calculated over the trailing 6-month period | 13.60% | 43.73% | -30.13% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.65% | 56.27% | -37.62% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 29.04% | 67.95% | -38.91% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 33.92% | 70.30% | -36.38% |
VXZ vs. VXX - Expense Ratio Comparison
Both VXZ and VXX have an expense ratio of 0.89%.
Dividends
VXZ vs. VXX - Dividend Comparison
Neither VXZ nor VXX has paid dividends to shareholders.
Frequently Asked Questions
VXZ and VXX have a correlation of 0.89, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VXX has higher volatility (14.39%) compared to VXZ (3.29%). In terms of maximum drawdown, VXZ dropped -69.00% vs VXX's -100.00%.
VXZ currently has the higher Sharpe Ratio (-0.71 vs -0.93), 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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