EFA vs VXX: Correlation
How closely do iShares MSCI EAFE ETF (EFA) and iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) trade together? Their weekly returns over three years give a correlation of -0.69, which is negative.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are EFA and VXX?
Across a 3-year window, the weekly returns of EFA and VXX correlate at -0.69, negative, meaning they tend to move in opposite directions. Recent behaviour matches the longer record: -0.73 over 1 year against -0.69 over 3. Stretching to 5 years gives -0.64, with an annualized covariance of -627.7 %².
VXX is close to the least connected end of EFA's tracked universe, ranking #109 of 109. Correlation aside, the last 12 months split them widely, with EFA ahead by 71.6 points (+21.9% versus -49.7%). One caveat on sizing: VXX is 4.1 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.
EFA vs VXX: side by side
| EFA (iShares MSCI EAFE ETF) | VXX (iPath Series B S&P 500 VIX Short-Term Futures ETN) | |
|---|---|---|
| 1-year return | +21.9% | -49.7% |
| 5-year return | +56.7% | -95.6% |
| Volatility (ann.) | 14.9% | 60.9% |
| Beta vs S&P 500 | 0.77 | -3.31 |
| Max drawdown (3Y) | -14.1% | -83.3% |
| Market cap | – | – |
| P/E (trailing) | – | – |
| Dividend yield | 3.19% | 0.00% |
| Expense ratio | 0.32% | – |
| Assets under management | $78.0B | – |
| Sector / category | ETF · International | US Listed |
On the fund side, EFA sits in the Foreign Large Blend category at iShares, with $78.0B under management, 666 holdings, a 0.32% expense ratio, a 3.19% trailing dividend yield.
Year-by-year returns
| Year | EFA | VXX |
|---|---|---|
| 2022 | -14.4% | -23.8% |
| 2023 | +18.4% | -72.5% |
| 2024 | +3.5% | -26.2% |
| 2025 | +31.5% | -42.2% |
| 2026 | +14.3% | -31.6% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are EFA and VXX good diversifiers for each other?
By historical standards, yes. A correlation of -0.69 means the two rarely move for the same reasons.
FAQ
What is the correlation between EFA and VXX?
As of 2026-08-27, the correlation of weekly returns between EFA and VXX is -0.69 over 3 years, -0.73 over 1 year and -0.64 over 5 years.
Is VXX a good diversifier for EFA?
By historical standards, yes. A correlation of -0.69 means the two rarely move for the same reasons.
What does a correlation of -0.69 mean?
On the −1 to +1 scale, -0.69 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/efa-vs-vxx.json
Drop this badge in a README or notebook; it updates with the data:
[](https://www.pairbook.io/pair/efa-vs-vxx/)
Free with attribution; caching and terms are described in the API documentation.
Related comparisons
Hubs: EFA correlations · VXX correlations
