FTF vs VXX: Correlation
Measured on weekly returns over the past three years, Franklin Limited Duration Income Trust (FTF) and iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) 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 FTF and VXX?
Across a 3-year window, the weekly returns of FTF and VXX correlate at -0.55, negative, meaning they tend to move in opposite directions. Recent behaviour matches the longer record: -0.63 over 1 year against -0.55 over 3. Stretching to 5 years gives -0.52, with an annualized covariance of -308.2 %².
VXX is close to the least connected end of FTF's tracked universe, ranking #11 of 12. Their recent paths diverged sharply: over the last 12 months FTF outperformed by 51.2 percentage points (+1.5% for FTF against -49.7% for VXX). One caveat on sizing: VXX is 6.6 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.
FTF vs VXX: side by side
| FTF (Franklin Limited Duration Income Trust) | VXX (iPath Series B S&P 500 VIX Short-Term Futures ETN) | |
|---|---|---|
| 1-year return | +1.5% | -49.7% |
| 5-year return | +10.3% | -95.6% |
| Volatility (ann.) | 9.2% | 60.9% |
| Beta vs S&P 500 | 0.34 | -3.31 |
| Max drawdown (3Y) | -11.6% | -83.3% |
| Market cap | – | – |
| P/E (trailing) | 13.7 | – |
| Dividend yield | 12.75% | 0.00% |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | FTF | VXX |
|---|---|---|
| 2022 | -23.5% | -23.8% |
| 2023 | +12.2% | -72.5% |
| 2024 | +19.6% | -26.2% |
| 2025 | +4.3% | -42.2% |
| 2026 | +1.8% | -31.6% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are FTF and VXX 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 FTF and VXX?
As of 2026-08-27, the correlation of weekly returns between FTF and VXX is -0.55 over 3 years, -0.63 over 1 year and -0.52 over 5 years.
Is VXX a good diversifier for FTF?
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?
A reading of -0.55 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/ftf-vs-vxx.json
Drop this badge in a README or notebook; it updates with the data:
[](https://www.pairbook.io/pair/ftf-vs-vxx/)
Free with attribution; caching and terms are described in the API documentation.
Related comparisons
Hubs: FTF correlations · VXX correlations
