VXX vs XLY: Correlation
Measured on weekly returns over the past three years, iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) and Consumer Discretionary Select Sector SPDR Fund (XLY) carry a correlation of -0.67, a negative link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are VXX and XLY?
Over the past 3 years, VXX and XLY moved with a correlation of -0.67, which is negative, meaning they tend to move in opposite directions. The relationship has been stable: the 1-year correlation (-0.59) sits close to the 3-year figure. Over 5 years the correlation is -0.59, and the annualized covariance of weekly returns is -798.1 %².
Within VXX's tracked universe of 2872 assets, XLY comes in at #2817 by 3-year correlation. Their recent paths diverged sharply: over the last 12 months XLY outperformed by 49.6 percentage points (-49.7% for VXX against -0.1% for XLY). Note the risk asymmetry: VXX runs 3.1 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.
VXX vs XLY: side by side
| VXX (iPath Series B S&P 500 VIX Short-Term Futures ETN) | XLY (Consumer Discretionary Select Sector SPDR Fund) | |
|---|---|---|
| 1-year return | -49.7% | -0.1% |
| 5-year return | -95.6% | +31.8% |
| Volatility (ann.) | 60.9% | 19.7% |
| Beta vs S&P 500 | -3.31 | 1.15 |
| Max drawdown (3Y) | -83.3% | -26.0% |
| Market cap | – | – |
| P/E (trailing) | – | – |
| Dividend yield | 0.00% | 0.78% |
| Expense ratio | – | 0.08% |
| Assets under management | – | $22.5B |
| Sector / category | US Listed | Sector ETF |
XLY is a Consumer Cyclical fund from State Street Investment Management: $22.5B under management, 47 holdings, a 0.08% expense ratio, a 0.78% trailing dividend yield.
Year-by-year returns
| Year | VXX | XLY |
|---|---|---|
| 2022 | -23.8% | -36.3% |
| 2023 | -72.5% | +39.6% |
| 2024 | -26.2% | +26.5% |
| 2025 | -42.2% | +7.4% |
| 2026 | -31.6% | -2.6% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are VXX and XLY good diversifiers for each other?
Yes. With a correlation of -0.67, VXX and XLY have moved largely independently, which makes them a genuinely diversifying pair by historical standards.
FAQ
What is the correlation between VXX and XLY?
Using weekly returns as of 2026-08-27: -0.67 over 3 years, with -0.59 over the last year and -0.59 over 5 years.
Is XLY a good diversifier for VXX?
Yes. With a correlation of -0.67, VXX and XLY have moved largely independently, which makes them a genuinely diversifying pair by historical standards.
What does a correlation of -0.67 mean?
On the −1 to +1 scale, -0.67 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.
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Related comparisons
Hubs: VXX correlations · XLY correlations
