CGO vs VXZ: Correlation
Calamos Global Total Return Fund - Closed End Fund (CGO) and iPath Series B S&P 500 VIX Mid-Term Futures ETN (VXZ) show a negative relationship: their 3-year correlation of weekly returns is -0.50.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are CGO and VXZ?
Across a 3-year window, the weekly returns of CGO and VXZ correlate at -0.50, negative, meaning they tend to move in opposite directions. The relationship has been stable: the 1-year correlation (-0.57) sits close to the 3-year figure. Stretching to 5 years gives -0.50, with an annualized covariance of -246.9 %².
Among the 16 assets we track against CGO, VXZ sits near the bottom by co-movement, at rank #14. Their recent paths diverged sharply: over the last 12 months CGO outperformed by 38.2 percentage points (+22.1% for CGO against -16.1% for VXZ).
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 VXZ: side by side
| CGO (Calamos Global Total Return Fund - Closed End Fund) | VXZ (iPath Series B S&P 500 VIX Mid-Term Futures ETN) | |
|---|---|---|
| 1-year return | +22.1% | -16.1% |
| 5-year return | +21.0% | -53.1% |
| Volatility (ann.) | 19.2% | 25.6% |
| Beta vs S&P 500 | 1.04 | -1.31 |
| Max drawdown (3Y) | -26.7% | -36.4% |
| Market cap | $0.1B | – |
| P/E (trailing) | 2.9 | – |
| Dividend yield | 7.31% | – |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | CGO | VXZ |
|---|---|---|
| 2022 | -36.6% | +0.5% |
| 2023 | +14.0% | -44.0% |
| 2024 | +36.8% | -12.7% |
| 2025 | +8.9% | +5.7% |
| 2026 | +20.3% | -10.5% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are CGO and VXZ good diversifiers for each other?
By historical standards, yes. A correlation of -0.50 means the two rarely move for the same reasons.
FAQ
What is the correlation between CGO and VXZ?
As of 2026-08-27, the correlation of weekly returns between CGO and VXZ is -0.50 over 3 years, -0.57 over 1 year and -0.50 over 5 years.
Is VXZ a good diversifier for CGO?
By historical standards, yes. A correlation of -0.50 means the two rarely move for the same reasons.
What does a correlation of -0.50 mean?
On the −1 to +1 scale, -0.50 describes how much the two returns move together: +1 is lockstep, 0 is independence, negative values mean opposite directions. It says nothing about which performed better.
Use this data
$ curl https://www.pairbook.io/api/v1/pairs/cgo-vs-vxz.json
Drop this badge in a README or notebook; it updates with the data:
[](https://www.pairbook.io/pair/cgo-vs-vxz/)
The core API is free. Terms and every endpoint in the API documentation.
Related comparisons
Hubs: CGO correlations · VXZ correlations
