PortfoliosLab logoPortfoliosLab logo
VXZ vs. VXX
Performance
Return for Risk
Drawdowns
Volatility
Dividends

Performance

VXZ vs. VXX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in 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). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Returns By Period

In the year-to-date period, VXZ achieves a -1.72% return, which is significantly higher than VXX's -9.82% return.


VXZ

1D
0.12%
1M
-4.99%
YTD
-1.72%
6M
0.35%
1Y
-12.57%
3Y*
-11.20%
5Y*
-12.28%
10Y*

VXX

1D
5.99%
1M
-9.65%
YTD
-9.82%
6M
-11.92%
1Y
-54.78%
3Y*
-39.15%
5Y*
-45.02%
10Y*
-48.25%
*Multi-year figures are annualized to reflect compound growth (CAGR)

VXZ vs. VXX - Yearly Performance Comparison


2026 (YTD)20252024202320222021202020192018
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%
VXX
iPath Series B S&P 500 VIX Short-Term Futures ETN
-9.82%-42.21%-26.22%-72.52%-23.80%-72.41%11.04%-67.75%74.73%

Correlation

The correlation between VXZ and VXX is 0.90, 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

0.90

Correlation (3Y)
Calculated over the trailing 3-year period

0.91

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 0.91 - a consistent structural relationship.

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Return for Risk

VXZ vs. VXX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

VXZ
VXZ Risk / Return Rank: 1212
Overall Rank
VXZ Sharpe Ratio Rank: 1313
Sharpe Ratio Rank
VXZ Sortino Ratio Rank: 1414
Sortino Ratio Rank
VXZ Omega Ratio Rank: 1515
Omega Ratio Rank
VXZ Calmar Ratio Rank: 1010
Calmar Ratio Rank
VXZ Martin Ratio Rank: 55
Martin Ratio Rank

VXX
VXX Risk / Return Rank: 11
Overall Rank
VXX Sharpe Ratio Rank: 11
Sharpe Ratio Rank
VXX Sortino Ratio Rank: 11
Sortino Ratio Rank
VXX Omega Ratio Rank: 11
Omega Ratio Rank
VXX Calmar Ratio Rank: 00
Calmar Ratio Rank
VXX Martin Ratio Rank: 11
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

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.


VXZVXXDifference
Sharpe ratioReturn per unit of total volatility

+0.30

Sortino ratioReturn per unit of downside risk

+0.77

Omega ratioGain probability vs. loss probability

0.90

0.82

+0.08

Calmar ratioReturn relative to maximum drawdown

-0.83

-1.01

+0.18

Martin ratioReturn relative to average drawdown

-1.54

-1.55

+0.01

VXZ vs. VXX - Sharpe Ratio Comparison

The current VXZ Sharpe Ratio is -0.67, which is higher than the VXX Sharpe Ratio of -0.98. The chart below compares the historical Sharpe Ratios of VXZ and VXX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.


Loading charts...

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.


Loading charts...

Drawdown Indicators


VXZVXXDifference

Max Drawdown

Largest peak-to-trough decline

-69.00%

-100.00%

+31.00%

Max Drawdown (1Y)

Largest decline over 1 year

-15.13%

-54.18%

+39.05%

Max Drawdown (3Y)

Largest decline over 3 years

-36.45%

-79.21%

+42.76%

Max Drawdown (5Y)

Largest decline over 5 years

-62.05%

-95.97%

+33.92%

Max Drawdown (10Y)

Largest decline over 10 years

-99.87%

Current Drawdown

Current decline from peak

-65.90%

-100.00%

+34.10%

Average Drawdown

Average peak-to-trough decline

-36.93%

-95.08%

+58.15%

Ulcer Index

Depth and duration of drawdowns from previous peaks

8.36%

39.47%

-31.11%

Volatility

VXZ vs. VXX - Volatility Comparison

The current volatility for iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) is 4.05%, while iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) has a volatility of 17.21%. 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.


Loading charts...

Volatility by Period


VXZVXXDifference

Volatility (1M)

Calculated over the trailing 1-month period

4.05%

17.21%

-13.16%

Volatility (6M)

Calculated over the trailing 6-month period

13.78%

43.47%

-29.69%

Volatility (1Y)

Calculated over the trailing 1-year period

18.74%

56.26%

-37.52%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

29.07%

68.03%

-38.96%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

34.01%

70.41%

-36.40%

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.


Tickers have no history of dividend payments

Frequently Asked Questions


With a correlation of 0.90, VXZ and VXX 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.

VXX has higher volatility (17.21%) compared to VXZ (4.05%). In terms of maximum drawdown, VXZ dropped -69.00% vs VXX's -100.00%.

VXZ currently has the higher Sharpe Ratio (-0.67 vs -0.98), 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.

Portfolio Optimizer

Find the right allocation for VXZ and VXX

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer