EFR vs VXZ: Correlation
Measured on weekly returns over the past three years, Eaton Vance Senior Floating-Rate Fund (EFR) and iPath Series B S&P 500 VIX Mid-Term Futures ETN (VXZ) carry a correlation of -0.55, a negative link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are EFR and VXZ?
Over the past 3 years, EFR and VXZ moved with a correlation of -0.55, which is negative, meaning they tend to move in opposite directions. Little has changed lately, as the 1-year reading of -0.48 lands near the 3-year figure. Over 5 years the correlation is -0.45, and the annualized covariance of weekly returns is -149.8 %².
Out of 16 assets tracked against EFR, VXZ lands near the bottom at #16. On 12-month performance EFR holds a 13.8-point edge, -2.3% against -16.1%. Risk is not evenly split, since VXZ carries 2.4 times the volatility of the other side.
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 VXZ: side by side
| EFR (Eaton Vance Senior Floating-Rate Fund) | VXZ (iPath Series B S&P 500 VIX Mid-Term Futures ETN) | |
|---|---|---|
| 1-year return | -2.3% | -16.1% |
| 5-year return | +16.8% | -53.1% |
| Volatility (ann.) | 10.7% | 25.6% |
| Beta vs S&P 500 | 0.45 | -1.31 |
| Max drawdown (3Y) | -18.3% | -36.4% |
| Market cap | $0.3B | – |
| P/E (trailing) | 20.6 | – |
| Dividend yield | 9.21% | – |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | EFR | VXZ |
|---|---|---|
| 2022 | -18.8% | +0.5% |
| 2023 | +29.2% | -44.0% |
| 2024 | +11.3% | -12.7% |
| 2025 | -4.9% | +5.7% |
| 2026 | -0.4% | -10.5% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are EFR and VXZ good diversifiers for each other?
By historical standards, yes. A correlation of -0.55 means the two rarely move for the same reasons.
FAQ
What is the correlation between EFR and VXZ?
The EFR/VXZ correlation stands at -0.55 on a 3-year window (1 year: -0.48, 5 years: -0.45), computed from weekly returns as of 2026-08-27.
Is VXZ a good diversifier for EFR?
By historical standards, yes. A correlation of -0.55 means the two rarely move for the same reasons.
What does a correlation of -0.55 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-vxz.json
Drop this badge in a README or notebook; it updates with the data:
[](https://www.pairbook.io/pair/efr-vs-vxz/)
The core API is free. Terms and every endpoint in the API documentation.
Related comparisons
Hubs: EFR correlations · VXZ correlations
