EFC vs VXZ: Correlation
Ellington Financial Inc. (EFC) 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 EFC and VXZ?
On 3 years of weekly data the EFC/VXZ correlation comes out at -0.50, negative, meaning they tend to move in opposite directions. Lately the two have moved closer together, with the 1-year correlation at -0.34 versus -0.50 over 3 years. The 5-year figure is -0.49, and annualized covariance runs at -238.0 %².
Among the 13 assets we track against EFC, VXZ sits near the bottom by co-movement, at rank #13. Their recent paths diverged sharply: over the last 12 months EFC outperformed by 26.8 percentage points (+10.7% for EFC 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.
EFC vs VXZ: side by side
| EFC (Ellington Financial Inc.) | VXZ (iPath Series B S&P 500 VIX Mid-Term Futures ETN) | |
|---|---|---|
| 1-year return | +10.7% | -16.1% |
| 5-year return | +35.9% | -53.1% |
| Volatility (ann.) | 18.8% | 25.6% |
| Beta vs S&P 500 | 0.54 | -1.31 |
| Max drawdown (3Y) | -18.9% | -36.4% |
| Market cap | $1.8B | – |
| P/E (trailing) | 8.4 | – |
| Dividend yield | 11.59% | – |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | EFC | VXZ |
|---|---|---|
| 2022 | -18.3% | +0.5% |
| 2023 | +18.2% | -44.0% |
| 2024 | +8.7% | -12.7% |
| 2025 | +26.1% | +5.7% |
| 2026 | +7.2% | -10.5% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are EFC and VXZ good diversifiers for each other?
Yes: at -0.50, the two have gone their own ways historically, which is what genuine diversification looks like.
FAQ
What is the correlation between EFC and VXZ?
The EFC/VXZ correlation stands at -0.50 on a 3-year window (1 year: -0.34, 5 years: -0.49), computed from weekly returns as of 2026-08-27.
Is VXZ a good diversifier for EFC?
Yes: at -0.50, the two have gone their own ways historically, which is what genuine diversification looks like.
What does a correlation of -0.50 mean?
A reading of -0.50 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/efc-vs-vxz.json
Drop this badge in a README or notebook; it updates with the data:
[](https://www.pairbook.io/pair/efc-vs-vxz/)
The core API is free. Terms and every endpoint in the API documentation.
Related comparisons
Hubs: EFC correlations · VXZ correlations
