FDS vs VXZ: Correlation
How closely do FactSet (FDS) 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 -0.26, which is negative.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are FDS and VXZ?
On 3 years of weekly data the FDS/VXZ correlation comes out at -0.26, negative, meaning they tend to move in opposite directions. Recent behaviour matches the longer record: -0.23 over 1 year against -0.26 over 3. The 5-year figure is -0.29, and annualized covariance runs at -214.2 %².
Among the 32 assets we track against FDS, VXZ sits near the bottom by co-movement, at rank #31. Their 12-month results are close: -18.6% for FDS 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.
FDS vs VXZ: side by side
| FDS (FactSet) | VXZ (iPath Series B S&P 500 VIX Mid-Term Futures ETN) | |
|---|---|---|
| 1-year return | -18.6% | -16.1% |
| 5-year return | -15.8% | -53.1% |
| Volatility (ann.) | 31.9% | 25.6% |
| Beta vs S&P 500 | 0.56 | -1.31 |
| Max drawdown (3Y) | -61.1% | -36.4% |
| Market cap | $10.8B | – |
| P/E (trailing) | 19.5 | – |
| Dividend yield | 1.51% | – |
| Sector / category | Financials | US Listed |
Year-by-year returns
| Year | FDS | VXZ |
|---|---|---|
| 2022 | -16.7% | +0.5% |
| 2023 | +20.0% | -44.0% |
| 2024 | +1.6% | -12.7% |
| 2025 | -38.9% | +5.7% |
| 2026 | +6.0% | -10.5% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are FDS and VXZ good diversifiers for each other?
Yes. With a correlation of -0.26, FDS and VXZ have moved largely independently, which makes them a genuinely diversifying pair by historical standards.
FAQ
What is the correlation between FDS and VXZ?
Using weekly returns as of 2026-08-27: -0.26 over 3 years, with -0.23 over the last year and -0.29 over 5 years.
Is VXZ a good diversifier for FDS?
Yes. With a correlation of -0.26, FDS and VXZ have moved largely independently, which makes them a genuinely diversifying pair by historical standards.
What does a correlation of -0.26 mean?
On the −1 to +1 scale, -0.26 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/fds-vs-vxz.json
Drop this badge in a README or notebook; it updates with the data:
[](https://www.pairbook.io/pair/fds-vs-vxz/)
The core API is free. Terms and every endpoint in the API documentation.
Related comparisons
Hubs: FDS correlations · VXZ correlations
