CPZ vs VXX: Correlation
Calamos Long/Short Equity & Dynamic Income Trust - Closed (CPZ) 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 -0.36.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are CPZ and VXX?
On 3 years of weekly data the CPZ/VXX correlation comes out at -0.36, negative, meaning they tend to move in opposite directions. Lately the two have drifted apart, with the 1-year correlation at -0.56 versus -0.36 over 3 years. The 5-year figure is -0.37, and annualized covariance runs at -250.6 %².
Among the 10 assets we track against CPZ, VXX sits near the bottom by co-movement, at rank #9. Their recent paths diverged sharply: over the last 12 months CPZ outperformed by 40.5 percentage points (-9.2% for CPZ against -49.7% for VXX). Note the risk asymmetry: VXX runs 5.4 times the annualized volatility of the other leg, so equal-weighting the two is not an equal-risk position.
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.
CPZ vs VXX: side by side
| CPZ (Calamos Long/Short Equity & Dynamic Income Trust - Closed) | VXX (iPath Series B S&P 500 VIX Short-Term Futures ETN) | |
|---|---|---|
| 1-year return | -9.2% | -49.7% |
| 5-year return | +14.8% | -95.6% |
| Volatility (ann.) | 11.3% | 60.9% |
| Beta vs S&P 500 | 0.30 | -3.31 |
| Max drawdown (3Y) | -17.9% | -83.3% |
| Market cap | $0.3B | – |
| P/E (trailing) | 63.7 | – |
| Dividend yield | 0.00% | 0.00% |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | CPZ | VXX |
|---|---|---|
| 2022 | -14.0% | -23.8% |
| 2023 | +6.3% | -72.5% |
| 2024 | +16.0% | -26.2% |
| 2025 | +9.8% | -42.2% |
| 2026 | -1.8% | -31.6% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are CPZ and VXX good diversifiers for each other?
By historical standards, yes. A correlation of -0.36 means the two rarely move for the same reasons.
FAQ
What is the correlation between CPZ and VXX?
Using weekly returns as of 2026-08-27: -0.36 over 3 years, with -0.56 over the last year and -0.37 over 5 years.
Is VXX a good diversifier for CPZ?
By historical standards, yes. A correlation of -0.36 means the two rarely move for the same reasons.
What does a correlation of -0.36 mean?
A reading of -0.36 sits on a scale from −1 (opposite moves) through 0 (unrelated) to +1 (identical moves). Correlation captures direction, not magnitude or performance.
Use this data
$ curl https://www.pairbook.io/api/v1/pairs/cpz-vs-vxx.json
Drop this badge in a README or notebook; it updates with the data:
[](https://www.pairbook.io/pair/cpz-vs-vxx/)
Free with attribution; caching and terms are described in the API documentation.
Related comparisons
Hubs: CPZ correlations · VXX correlations
