SOR vs VXX: Correlation
Source Capital, Inc. Cmn Shs of BI (SOR) 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 -0.44.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are SOR and VXX?
On 3 years of weekly data the SOR/VXX correlation comes out at -0.44, negative, meaning they tend to move in opposite directions. Recent behaviour matches the longer record: -0.36 over 1 year against -0.44 over 3. The 5-year figure is -0.45, and annualized covariance runs at -279.9 %².
Among the 11 assets we track against SOR, VXX sits near the bottom by co-movement, at rank #11. The last year tells two different stories: SOR led by 60.9 percentage points, +11.2% for SOR against -49.7% for VXX. Note the risk asymmetry: VXX runs 5.8 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.
SOR vs VXX: side by side
| SOR (Source Capital, Inc. Cmn Shs of BI) | VXX (iPath Series B S&P 500 VIX Short-Term Futures ETN) | |
|---|---|---|
| 1-year return | +11.2% | -49.7% |
| 5-year return | +53.7% | -95.6% |
| Volatility (ann.) | 10.5% | 60.9% |
| Beta vs S&P 500 | 0.37 | -3.31 |
| Max drawdown (3Y) | -9.2% | -83.3% |
| Market cap | – | – |
| P/E (trailing) | 6.4 | – |
| Dividend yield | 5.36% | 0.00% |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | SOR | VXX |
|---|---|---|
| 2022 | -5.2% | -23.8% |
| 2023 | +12.6% | -72.5% |
| 2024 | +21.3% | -26.2% |
| 2025 | +11.5% | -42.2% |
| 2026 | +5.4% | -31.6% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are SOR and VXX good diversifiers for each other?
Yes: at -0.44, the two have gone their own ways historically, which is what genuine diversification looks like.
FAQ
What is the correlation between SOR and VXX?
As of 2026-08-27, the correlation of weekly returns between SOR and VXX is -0.44 over 3 years, -0.36 over 1 year and -0.45 over 5 years.
Is VXX a good diversifier for SOR?
Yes: at -0.44, the two have gone their own ways historically, which is what genuine diversification looks like.
What does a correlation of -0.44 mean?
On the −1 to +1 scale, -0.44 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/sor-vs-vxx.json
Drop this badge in a README or notebook; it updates with the data:
[](https://www.pairbook.io/pair/sor-vs-vxx/)
Free with attribution; caching and terms are described in the API documentation.
Related comparisons
Hubs: SOR correlations · VXX correlations
