SOR vs VXZ: Correlation
How closely do Source Capital, Inc. Cmn Shs of BI (SOR) 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 -0.41, which is negative.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are SOR and VXZ?
On 3 years of weekly data the SOR/VXZ correlation comes out at -0.41, negative, meaning they tend to move in opposite directions. Little has changed lately, as the 1-year reading of -0.40 lands near the 3-year figure. The 5-year figure is -0.49, and annualized covariance runs at -109.8 %².
Among the 11 assets we track against SOR, VXZ sits near the bottom by co-movement, at rank #10. Their recent paths diverged sharply: over the last 12 months SOR outperformed by 27.3 percentage points (+11.2% for SOR against -16.1% for VXZ). Risk is not evenly split, since VXZ carries 2.4 times the volatility of the other side.
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 VXZ: side by side
| SOR (Source Capital, Inc. Cmn Shs of BI) | VXZ (iPath Series B S&P 500 VIX Mid-Term Futures ETN) | |
|---|---|---|
| 1-year return | +11.2% | -16.1% |
| 5-year return | +53.7% | -53.1% |
| Volatility (ann.) | 10.5% | 25.6% |
| Beta vs S&P 500 | 0.37 | -1.31 |
| Max drawdown (3Y) | -9.2% | -36.4% |
| Market cap | – | – |
| P/E (trailing) | 6.4 | – |
| Dividend yield | 5.36% | – |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | SOR | VXZ |
|---|---|---|
| 2022 | -5.2% | +0.5% |
| 2023 | +12.6% | -44.0% |
| 2024 | +21.3% | -12.7% |
| 2025 | +11.5% | +5.7% |
| 2026 | +5.4% | -10.5% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are SOR and VXZ good diversifiers for each other?
By historical standards, yes. A correlation of -0.41 means the two rarely move for the same reasons.
FAQ
What is the correlation between SOR and VXZ?
The SOR/VXZ correlation stands at -0.41 on a 3-year window (1 year: -0.40, 5 years: -0.49), computed from weekly returns as of 2026-08-27.
Is VXZ a good diversifier for SOR?
By historical standards, yes. A correlation of -0.41 means the two rarely move for the same reasons.
What does a correlation of -0.41 mean?
A reading of -0.41 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/sor-vs-vxz.json
Drop this badge in a README or notebook; it updates with the data:
[](https://www.pairbook.io/pair/sor-vs-vxz/)
The core API is free. Terms and every endpoint in the API documentation.
Related comparisons
Hubs: SOR correlations · VXZ correlations
