Snapshot*
What is VXZ?
The iPath Series B S&P 500 VIX Mid-Term Futures ETNs (the "ETNs") are designed to provide exposure to the S&P 500 VIX Mid-Term Futures Index Total Return (the Index ). The Index is designed to provide access to equity market volatility through CBOE Volatility Index (the "VIX Index") futures. The Index offers exposure to a daily rolling long position in the fourth, fifth, sixth and seventh month VIX futures contracts and reflects market participants views of the future direction of the VIX index at the time of expiration of the VIX futures contracts comprising the Index.
VXZPerformance Measures**
for the time period Mar 14, 2019 to Aug 5, 2026
1M Trailing Return: -0.5%
The percent change in the value over the most recent 1-month period.
3M Trailing Return: -10.7%
The percent change in the value over the most recent 3-month period.
Max Drawdown: -69.0%
The greatest percent loss from peak to trough in value over the time period.
Standard Deviation: 33.8%
The typical amount that daily returns vary from the mean of the returns over the time period, standardized to a period of a year.
Sharpe Ratio: -0.03
The annualized arithmetic mean of the daily returns divided by the annualized standard deviation of the daily returns for the selected time period.
Calmar Ratio: -0.09
The annualized return divided by the max drawdown for the selected time period.
ETFs related toVXZ
ETFs correlated to VXZ include VIXM, UVIX, UVXY
What is ETF correlation?
Correlation is a measure of the strength of the relationship between two ETFs. It quantifies the degree to which prices of the two ETFs typically move together.
Here, correlation is measured over the past year with the Pearson correlation coefficient (Pearon’s r), which ranges from -1 to 1.
Using ETF correlations in portfolio and strategy construction
ETF correlations can help you create investing strategies and portfolios. Use them to:
- •Build a diversified portfolio from uncorrelated or inversely correlated ETFs with the aim of minimizing portfolio risk.
- •Compare correlated or related ETFs to find one with a lower expense ratio or higher trading volume.
- •Create an investing strategy that hedges an ETF with an uncorrelated or inversely correlated ETF.
Trading Strategies
Related toVXZ
Wash Sale 3 Sorted by 5 day Max DD WM 74
Category
Tactical allocation, trend following, risk-on/risk-off, managed futures switch, leveraged ETFs, volatility filter, wash-sale rotation
OOS Cumulative Return
431.34%
V1a TQQQ/QQQ or Safety Town All Shared Versions | BlackSwan MeanRev BondSignal
Category
Tactical allocation, trend-following, mean reversion, volatility trading, leveraged ETFs, defensive sleeves
OOS Cumulative Return
334.22%
Create your own algorithmic trading strategy with VXZ using Composer
FAQ
Disclaimers
We show information directly obtained from our data provider, Xignite. Data shown here is provided by Xignite, an unaffiliated third party. Composer believes the information shown here is reliable, but has not been verified and there is no guarantee that the information is accurate.
We show information based on calculations performed by Composer using data from our provider. Information provided here is based on calculations performed by Composer using data sourced from Xignite, an unaffiliated third party. Composer believes this information is reliable, but has not verified the data and there is no guarantee that the calculations are accurate.