ZVOL vs. VXZ
ZVOL (Volatility Premium Plus ETF) is Volatility fund tracking the S&P 500 VIX Mid Term Futures Inverse Daily Index, while VXZ (iPath Series B S&P 500® VIX Mid-Term Futures ETN) is a stock. Both are passively managed. Over the past 3 years, ZVOL returned 5.31%/yr vs -8.83%/yr for VXZ. Their -0.95 correlation means they have often moved in opposite directions in the past. ZVOL charges 1.35%/yr vs 0.89%/yr for VXZ.
Performance
ZVOL vs. VXZ - 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 VXZ's -4.62% 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%
VXZ
- 1D
- -0.08%
- 1M
- 1.31%
- 6M
- -4.72%
- YTD
- -4.62%
- 1Y
- -14.50%
- 3Y*
- -8.83%
- 5Y*
- -13.66%
- 10Y*
- —
- ALL TIME*
- -3.24%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $603.06K | $845.13K | $781.77K | |
| $569.54K | $429.96K | $368.17K |
ZVOL vs. VXZ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
ZVOL Volatility Premium Plus ETF | 4.86% | -10.71% | 9.27% | 51.85% |
VXZ iPath Series B S&P 500® VIX Mid-Term Futures ETN | -4.62% | 5.73% | -12.65% | -35.04% |
Correlation
The correlation between ZVOL and VXZ is -0.91, 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. | -0.91 |
Correlation (3Y) Balances recent behavior with more history. | -0.95 |
Correlation (All Time) Calculated using the full available price history since Apr 19, 2023 | -0.95 |
The correlation between ZVOL and VXZ has been stable across timeframes, ranging from -0.95 to -0.91 - a consistent structural relationship.
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Return for Risk
ZVOL vs. VXZ — Risk / Return Rank
ZVOL
VXZ
ZVOL vs. VXZ - 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 Mid-Term Futures ETN (VXZ). 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 | VXZ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.54 | ||
| Sortino ratioReturn per unit of downside risk | +2.24 | ||
| Omega ratioGain probability vs. loss probability | 1.16 | 0.90 | +0.26 |
| Calmar ratioReturn relative to maximum drawdown | 0.97 | -0.67 | +1.64 |
| Martin ratioReturn relative to average drawdown | 3.10 | -1.28 | +4.38 |
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Drawdowns
ZVOL vs. VXZ - Drawdown Comparison
The maximum ZVOL drawdown since its inception was -37.25%, smaller than the maximum VXZ drawdown of -69.00%. Use the drawdown chart below to compare losses from any high point for ZVOL and VXZ.
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Drawdown Indicators
| ZVOL | VXZ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -37.25% | -69.00% | +31.75% |
Max Drawdown (1Y)Largest decline over 1 year | -16.46% | -19.20% | +2.74% |
Max Drawdown (3Y)Largest decline over 3 years | -37.25% | -36.45% | -0.80% |
Max Drawdown (5Y)Largest decline over 5 years | — | -62.05% | — |
Current DrawdownCurrent decline from peak | -16.47% | -66.90% | +50.43% |
Average DrawdownAverage peak-to-trough decline | -13.63% | -37.31% | +23.68% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.12% | 10.04% | -4.92% |
Volatility
ZVOL vs. VXZ - Volatility Comparison
The current volatility for Volatility Premium Plus ETF (ZVOL) is 3.16%, while iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) has a volatility of 3.69%. This indicates that ZVOL experiences smaller price fluctuations and is considered to be less risky than VXZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ZVOL | VXZ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.16% | 3.69% | -0.53% |
Volatility (6M)Calculated over the trailing 6-month period | 13.68% | 13.55% | +0.13% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.73% | 18.60% | +0.13% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 28.73% | 28.95% | -0.22% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 28.73% | 33.83% | -5.10% |
ZVOL vs. VXZ - Expense Ratio Comparison
ZVOL has a 1.35% expense ratio, which is higher than VXZ's 0.89% expense ratio.
Dividends
ZVOL vs. VXZ - Dividend Comparison
ZVOL's dividend yield for the trailing twelve months is around 74.74%, while VXZ has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 |
|---|---|---|---|---|
VXZ iPath Series B S&P 500® VIX Mid-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 VXZ have a correlation of -0.91, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VXZ has higher volatility (3.69%) compared to ZVOL (3.16%). In terms of maximum drawdown, ZVOL dropped -37.25% vs VXZ's -69.00%.
ZVOL currently has the higher Sharpe Ratio (0.85 vs -0.69), 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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