CPZ vs VXZ: Correlation
Measured on weekly returns over the past three years, Calamos Long/Short Equity & Dynamic Income Trust - Closed (CPZ) and iPath Series B S&P 500 VIX Mid-Term Futures ETN (VXZ) carry a correlation of -0.39, a negative link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are CPZ and VXZ?
On 3 years of weekly data the CPZ/VXZ correlation comes out at -0.39, negative, meaning they tend to move in opposite directions. The past 12 months show a weaker link (-0.58) than the 3-year average (-0.39). The 5-year figure is -0.43, and annualized covariance runs at -113.3 %².
VXZ is close to the least connected end of CPZ's tracked universe, ranking #10 of 10. On 12-month performance CPZ holds a 6.9-point edge, -9.2% against -16.1%. Note the risk asymmetry: VXZ runs 2.3 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 VXZ: side by side
| CPZ (Calamos Long/Short Equity & Dynamic Income Trust - Closed) | VXZ (iPath Series B S&P 500 VIX Mid-Term Futures ETN) | |
|---|---|---|
| 1-year return | -9.2% | -16.1% |
| 5-year return | +14.8% | -53.1% |
| Volatility (ann.) | 11.3% | 25.6% |
| Beta vs S&P 500 | 0.30 | -1.31 |
| Max drawdown (3Y) | -17.9% | -36.4% |
| Market cap | $0.3B | – |
| P/E (trailing) | 63.7 | – |
| Dividend yield | 0.00% | – |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | CPZ | VXZ |
|---|---|---|
| 2022 | -14.0% | +0.5% |
| 2023 | +6.3% | -44.0% |
| 2024 | +16.0% | -12.7% |
| 2025 | +9.8% | +5.7% |
| 2026 | -1.8% | -10.5% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are CPZ and VXZ good diversifiers for each other?
By historical standards, yes. A correlation of -0.39 means the two rarely move for the same reasons.
FAQ
What is the correlation between CPZ and VXZ?
As of 2026-08-27, the correlation of weekly returns between CPZ and VXZ is -0.39 over 3 years, -0.58 over 1 year and -0.43 over 5 years.
Is VXZ a good diversifier for CPZ?
By historical standards, yes. A correlation of -0.39 means the two rarely move for the same reasons.
What does a correlation of -0.39 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/cpz-vs-vxz.json
Drop this badge in a README or notebook; it updates with the data:
[](https://www.pairbook.io/pair/cpz-vs-vxz/)
The core API is free. Terms and every endpoint in the API documentation.
Related comparisons
Hubs: CPZ correlations · VXZ correlations
