JOF vs VXX: Correlation
Japan Smaller Capitalization Fund Inc (JOF) 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 -0.56.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are JOF and VXX?
Across a 3-year window, the weekly returns of JOF and VXX correlate at -0.56, negative, meaning they tend to move in opposite directions. Recent behaviour matches the longer record: -0.62 over 1 year against -0.56 over 3. Stretching to 5 years gives -0.52, with an annualized covariance of -639.4 %².
Among the 15 assets we track against JOF, VXX sits near the bottom by co-movement, at rank #15. Correlation aside, the last 12 months split them widely, with JOF ahead by 82.7 points (+33.0% versus -49.7%). Note the risk asymmetry: VXX runs 3.3 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.
JOF vs VXX: side by side
| JOF (Japan Smaller Capitalization Fund Inc) | VXX (iPath Series B S&P 500 VIX Short-Term Futures ETN) | |
|---|---|---|
| 1-year return | +33.0% | -49.7% |
| 5-year return | +81.0% | -95.6% |
| Volatility (ann.) | 18.6% | 60.9% |
| Beta vs S&P 500 | 0.74 | -3.31 |
| Max drawdown (3Y) | -17.2% | -83.3% |
| Market cap | – | – |
| P/E (trailing) | 2.5 | – |
| Dividend yield | 5.67% | 0.00% |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | JOF | VXX |
|---|---|---|
| 2022 | -17.1% | -23.8% |
| 2023 | +21.4% | -72.5% |
| 2024 | +5.3% | -26.2% |
| 2025 | +52.1% | -42.2% |
| 2026 | +20.9% | -31.6% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are JOF and VXX good diversifiers for each other?
By historical standards, yes. A correlation of -0.56 means the two rarely move for the same reasons.
FAQ
What is the correlation between JOF and VXX?
Using weekly returns as of 2026-08-27: -0.56 over 3 years, with -0.62 over the last year and -0.52 over 5 years.
Is VXX a good diversifier for JOF?
By historical standards, yes. A correlation of -0.56 means the two rarely move for the same reasons.
What does a correlation of -0.56 mean?
A reading of -0.56 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/jof-vs-vxx.json
Drop this badge in a README or notebook; it updates with the data:
[](https://www.pairbook.io/pair/jof-vs-vxx/)
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Related comparisons
Hubs: JOF correlations · VXX correlations
