CGO vs VXX: Correlation
Calamos Global Total Return Fund - Closed End Fund (CGO) and iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) show a negative relationship: their 3-year correlation of weekly returns is -0.58.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are CGO and VXX?
On 3 years of weekly data the CGO/VXX correlation comes out at -0.58, negative, meaning they tend to move in opposite directions. Lately the two have drifted apart, with the 1-year correlation at -0.69 versus -0.58 over 3 years. The 5-year figure is -0.49, and annualized covariance runs at -676.2 %².
Out of 16 assets tracked against CGO, VXX lands near the bottom at #15. Correlation aside, the last 12 months split them widely, with CGO ahead by 71.8 points (+22.1% versus -49.7%). One caveat on sizing: VXX is 3.2 times as volatile as the other leg, so an equal-dollar split is far from equal-risk.
How is this computed?
Pearson correlation on weekly returns: ρ(A,B) = cov(rA, rB) / (σA · σB), over windows of 52, 156 and 260 weeks. Covariance is annualized (×52) and expressed in %². Full definitions on the methodology page.
CGO vs VXX: side by side
| CGO (Calamos Global Total Return Fund - Closed End Fund) | VXX (iPath Series B S&P 500 VIX Short-Term Futures ETN) | |
|---|---|---|
| 1-year return | +22.1% | -49.7% |
| 5-year return | +21.0% | -95.6% |
| Volatility (ann.) | 19.2% | 60.9% |
| Beta vs S&P 500 | 1.04 | -3.31 |
| Max drawdown (3Y) | -26.7% | -83.3% |
| Market cap | $0.1B | – |
| P/E (trailing) | 2.9 | – |
| Dividend yield | 7.31% | 0.00% |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | CGO | VXX |
|---|---|---|
| 2022 | -36.6% | -23.8% |
| 2023 | +14.0% | -72.5% |
| 2024 | +36.8% | -26.2% |
| 2025 | +8.9% | -42.2% |
| 2026 | +20.3% | -31.6% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are CGO and VXX good diversifiers for each other?
Yes: at -0.58, the two have gone their own ways historically, which is what genuine diversification looks like.
FAQ
What is the correlation between CGO and VXX?
The CGO/VXX correlation stands at -0.58 on a 3-year window (1 year: -0.69, 5 years: -0.49), computed from weekly returns as of 2026-08-27.
Is VXX a good diversifier for CGO?
Yes: at -0.58, the two have gone their own ways historically, which is what genuine diversification looks like.
What does a correlation of -0.58 mean?
Correlation ranges from −1 to +1. Values near +1 mean two assets move together, near 0 that they move independently, and negative values that they tend to move in opposite directions. It measures co-movement, not performance.
Use this data
$ curl https://www.pairbook.io/api/v1/pairs/cgo-vs-vxx.json
Drop this badge in a README or notebook; it updates with the data:
[](https://www.pairbook.io/pair/cgo-vs-vxx/)
Free with attribution; caching and terms are described in the API documentation.
Related comparisons
Hubs: CGO correlations · VXX correlations
