ZVOL vs. VXX
ZVOL (Volatility Premium Plus ETF) and VXX (iPath Series B S&P 500 VIX Short-Term Futures ETN) are both Volatility funds - ZVOL tracks the S&P 500 VIX Mid Term Futures Inverse Daily Index while VXX tracks the S&P 500 VIX Short-Term Futures Index Total Return. Both are passively managed. Over the past 3 years, ZVOL returned 5.31%/yr vs -38.60%/yr for VXX. Their -0.88 correlation means they have often moved in opposite directions in the past. ZVOL charges 1.35%/yr vs 0.89%/yr for VXX.
Performance
ZVOL vs. VXX - Performance Comparison
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Returns By Period
In the year-to-date period, ZVOL achieves a 4.86% return, which is significantly higher than VXX's -19.72% return.
ZVOL
- 1D
- 0.86%
- 1M
- -0.77%
- 6M
- 5.30%
- YTD
- 4.86%
- 1Y
- 17.86%
- 3Y*
- 5.31%
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 14.36%
VXX
- 1D
- -2.61%
- 1M
- -3.58%
- 6M
- -22.73%
- YTD
- -19.72%
- 1Y
- -53.71%
- 3Y*
- -38.60%
- 5Y*
- -46.47%
- 10Y*
- -46.29%
- ALL TIME*
- -51.44%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $203.07M | $176.34M | $224.72M | |
| $569.54K | $429.96K | $368.17K |
ZVOL vs. VXX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
ZVOL Volatility Premium Plus ETF | 4.86% | -10.71% | 9.27% | 51.85% |
VXX iPath Series B S&P 500 VIX Short-Term Futures ETN | -19.72% | -42.21% | -26.22% | -60.45% |
Correlation
The correlation between ZVOL and VXX is -0.87, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.87 |
Correlation (3Y) Balances recent behavior with more history. | -0.89 |
Correlation (All Time) Calculated using the full available price history since Apr 19, 2023 | -0.88 |
The correlation between ZVOL and VXX has been stable across timeframes, ranging from -0.89 to -0.87 - a consistent structural relationship.
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Return for Risk
ZVOL vs. VXX — Risk / Return Rank
ZVOL
VXX
ZVOL vs. VXX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Volatility Premium Plus ETF (ZVOL) 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.
| ZVOL | VXX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.72 | ||
| Sortino ratioReturn per unit of downside risk | +2.69 | ||
| Omega ratioGain probability vs. loss probability | 1.16 | 0.85 | +0.30 |
| Calmar ratioReturn relative to maximum drawdown | 0.97 | -0.92 | +1.88 |
| Martin ratioReturn relative to average drawdown | 3.10 | -1.40 | +4.50 |
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Drawdowns
ZVOL vs. VXX - Drawdown Comparison
The maximum ZVOL drawdown since its inception was -37.25%, smaller than the maximum VXX drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for ZVOL and VXX.
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Drawdown Indicators
| ZVOL | VXX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -37.25% | -100.00% | +62.75% |
Max Drawdown (1Y)Largest decline over 1 year | -16.46% | -54.59% | +38.13% |
Max Drawdown (3Y)Largest decline over 3 years | -37.25% | -80.75% | +43.50% |
Max Drawdown (5Y)Largest decline over 5 years | — | -95.66% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -99.80% | — |
Current DrawdownCurrent decline from peak | -16.47% | -100.00% | +83.53% |
Average DrawdownAverage peak-to-trough decline | -13.63% | -95.11% | +81.48% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.12% | 35.70% | -30.58% |
Volatility
ZVOL vs. VXX - Volatility Comparison
The current volatility for Volatility Premium Plus ETF (ZVOL) is 3.16%, while iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) has a volatility of 14.47%. This indicates that ZVOL 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
| ZVOL | VXX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.16% | 14.47% | -11.31% |
Volatility (6M)Calculated over the trailing 6-month period | 13.68% | 42.90% | -29.22% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.73% | 57.37% | -38.64% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 28.73% | 67.63% | -38.90% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 28.73% | 70.37% | -41.64% |
ZVOL vs. VXX - Expense Ratio Comparison
ZVOL has a 1.35% expense ratio, which is higher than VXX's 0.89% expense ratio.
Dividends
ZVOL vs. VXX - Dividend Comparison
ZVOL's dividend yield for the trailing twelve months is around 74.74%, while VXX has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 |
|---|---|---|---|---|
VXX iPath Series B S&P 500 VIX Short-Term Futures ETN | 0.00% | 0.00% | 0.00% | 0.00% |
ZVOL Volatility Premium Plus ETF | 74.74% | 53.44% | 30.68% | 0.55% |
Frequently Asked Questions
ZVOL and VXX have a correlation of -0.87, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VXX has higher volatility (14.47%) compared to ZVOL (3.16%). In terms of maximum drawdown, ZVOL dropped -37.25% vs VXX's -100.00%.
On 3-year performance, ZVOL leads with 5.31% vs -38.60% for VXX. On fees, VXX is cheaper at 0.89% per year. On volatility, ZVOL has been the lower-risk option at 3.16%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, ZVOL has performed better with a 5.31% return vs -38.60%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
VXX is cheaper with a 0.89% expense ratio, compared with 1.35% for ZVOL.
ZVOL has the higher dividend yield at 74.74%, compared with 0.00% for VXX.
ZVOL tracks S&P 500 VIX Mid Term Futures Inverse Daily Index, while VXX tracks S&P 500 VIX Short-Term Futures Index Total Return. They also come from different issuers: Volatility Shares and Barclays Capital. Their fees differ too: 1.35% for ZVOL and 0.89% for VXX.
ZVOL currently has the higher Sharpe Ratio (0.85 vs -0.87), 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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