EFR vs VXX: Correlation
Eaton Vance Senior Floating-Rate Fund (EFR) 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 -0.54.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are EFR and VXX?
Across a 3-year window, the weekly returns of EFR and VXX correlate at -0.54, negative, meaning they tend to move in opposite directions. Little has changed lately, as the 1-year reading of -0.52 lands near the 3-year figure. Stretching to 5 years gives -0.39, with an annualized covariance of -354.1 %².
Among the 16 assets we track against EFR, VXX sits near the bottom by co-movement, at rank #15. Correlation aside, the last 12 months split them widely, with EFR ahead by 47.4 points (-2.3% versus -49.7%). Note the risk asymmetry: VXX runs 5.7 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.
EFR vs VXX: side by side
| EFR (Eaton Vance Senior Floating-Rate Fund) | VXX (iPath Series B S&P 500 VIX Short-Term Futures ETN) | |
|---|---|---|
| 1-year return | -2.3% | -49.7% |
| 5-year return | +16.8% | -95.6% |
| Volatility (ann.) | 10.7% | 60.9% |
| Beta vs S&P 500 | 0.45 | -3.31 |
| Max drawdown (3Y) | -18.3% | -83.3% |
| Market cap | $0.3B | – |
| P/E (trailing) | 20.6 | – |
| Dividend yield | 9.21% | 0.00% |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | EFR | VXX |
|---|---|---|
| 2022 | -18.8% | -23.8% |
| 2023 | +29.2% | -72.5% |
| 2024 | +11.3% | -26.2% |
| 2025 | -4.9% | -42.2% |
| 2026 | -0.4% | -31.6% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are EFR and VXX good diversifiers for each other?
Yes: at -0.54, the two have gone their own ways historically, which is what genuine diversification looks like.
FAQ
What is the correlation between EFR and VXX?
Using weekly returns as of 2026-08-27: -0.54 over 3 years, with -0.52 over the last year and -0.39 over 5 years.
Is VXX a good diversifier for EFR?
Yes: at -0.54, the two have gone their own ways historically, which is what genuine diversification looks like.
What does a correlation of -0.54 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/efr-vs-vxx.json
Drop this badge in a README or notebook; it updates with the data:
[](https://www.pairbook.io/pair/efr-vs-vxx/)
Free with attribution; caching and terms are described in the API documentation.
Related comparisons
Hubs: EFR correlations · VXX correlations
