ETY vs VXZ: Correlation
How closely do Eaton Vance Tax-Managed Diversified Equity Income Fund (ETY) and iPath Series B S&P 500 VIX Mid-Term Futures ETN (VXZ) 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 ETY and VXZ?
Across a 3-year window, the weekly returns of ETY and VXZ correlate at -0.69, negative, meaning they tend to move in opposite directions. Recent behaviour matches the longer record: -0.66 over 1 year against -0.69 over 3. Stretching to 5 years gives -0.65, with an annualized covariance of -272.6 %².
Out of 34 assets tracked against ETY, VXZ lands near the bottom at #32. The last year tells two different stories: ETY led by 15.7 percentage points, -0.4% for ETY against -16.1% for VXZ. One caveat on sizing: VXZ is 1.7 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.
ETY vs VXZ: side by side
| ETY (Eaton Vance Tax-Managed Diversified Equity Income Fund) | VXZ (iPath Series B S&P 500 VIX Mid-Term Futures ETN) | |
|---|---|---|
| 1-year return | -0.4% | -16.1% |
| 5-year return | +51.2% | -53.1% |
| Volatility (ann.) | 15.4% | 25.6% |
| Beta vs S&P 500 | 0.97 | -1.31 |
| Max drawdown (3Y) | -21.3% | -36.4% |
| Market cap | – | – |
| P/E (trailing) | 5.2 | – |
| Dividend yield | 8.24% | – |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | ETY | VXZ |
|---|---|---|
| 2022 | -21.2% | +0.5% |
| 2023 | +21.9% | -44.0% |
| 2024 | +33.1% | -12.7% |
| 2025 | +11.0% | +5.7% |
| 2026 | +0.2% | -10.5% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are ETY and VXZ good diversifiers for each other?
Yes. With a correlation of -0.69, ETY and VXZ have moved largely independently, which makes them a genuinely diversifying pair by historical standards.
FAQ
What is the correlation between ETY and VXZ?
As of 2026-08-27, the correlation of weekly returns between ETY and VXZ is -0.69 over 3 years, -0.66 over 1 year and -0.65 over 5 years.
Is VXZ a good diversifier for ETY?
Yes. With a correlation of -0.69, ETY and VXZ have moved largely independently, which makes them a genuinely diversifying pair by historical standards.
What does a correlation of -0.69 mean?
A reading of -0.69 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/ety-vs-vxz.json
Drop this badge in a README or notebook; it updates with the data:
[](https://www.pairbook.io/pair/ety-vs-vxz/)
The core API is free. Terms and every endpoint in the API documentation.
Related comparisons
Hubs: ETY correlations · VXZ correlations
