VIXM

ProShares VIX Mid-Term Futures ETF
*Unless otherwise stated, data provided by FactSet.

VIXM Fund Description

VIXM tracks an index of futures contracts on the CBOE Volatility Index with an average of five months until maturity. Exposure resets daily.

VIXM Factset Analytics Insight

VIXM provides generic midterm VIX futures exposure in an ETF rather than an ETN. VIX futures allow investors to invest based on their view of the forward implied market volatility of the S&P 500. VIXM and other midterm ETPs provides exposure to VIX futures with average 5-month maturity. As a volatility ETP investor, it is important to note these two caveats: 1) Volatility ETPs deliver poor long-term exposure to the VIX index, and 2) Volatility ETPs have a history of erasing vast sums of investor capital over holdings periods. Investors should be aware of their expected position decay due to persistent contango in VIX futures, historically. As an ETF, the fund is structured as a commodity pool and thus avoids counterparty risk, but delivers K-1’s at tax time.

PERFORMANCE [as of 09/24/21] 1 MONTH 3 MONTHS YTD 1 YEAR 3 YEARS 5 YEARS 10 YEARS
VIXM -0.29% 0.93% -15.83% -27.73% 14.35% -7.71% -21.47%
VIXM (NAV) -1.14% 1.81% -16.40% -27.36% 14.36% -7.96% -21.54%
S&P 500 VIX Mid-Term Futures Index -1.03% 2.15% -15.59% -26.40% 15.74% -6.79% -20.62%
CBOE Market Volatility Index -- -- -- -- -- -- --
All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

VIXM Summary Data

ProShares
01/04/11
Commodities Pool
0.85%
$116.23M
$2.69M
0.19%

VIXM Portfolio Data

S&P 500 Mid-Term
0.00%
N/A
5

VIXM Index Data

S&P 500 VIX Mid-Term Futures Index
Single Asset
Single Asset
CBOE Market Volatility Index

VIXM Portfolio Management

0.85%
-1.15%
-0.90%
-2.50%

VIXM Tax Exposures

27.84% / 27.84%
--
No distributions
Yes

VIXM Fund Structure

Commodities Pool
Yes
N/A
-- / --
N/A
N/A
Low
Daily

VIXM Factset Analytics Block Liquidity

As of 09/27/21
5
4
3
2
1

This measurement shows how easy it is to trade a $1 million USD block of VIXM. VIXM is rated a 5 out of 5.

VIXM Tradability

86,092
$2.69M
62,711
$1.92M
0.19%
$0.06
0.00%
1.62% / -1.09%
None
100.00%
25,000
2.51
0.03%
--
2,276
$30.71
5

VIXM Exposure

100.00%

VIXM Expected Decay

Expected decay estimates the annualized impact on returns solely from the futures term structure. A positive number implies an expected loss attributable to the term structure and a negative number implies an expected gain attributable to the term structure. Decay–to–spot compares weighted average futures contract prices with the spot VIX value. It also assumes a constant spot VIX level. Decay–to–preceding compares weighted average futures price levels with those immediately preceding on the curve, assuming that the shape of the curve is constant.

VIXM Term Structure

VIXM's index rolls a part of its VIX futures exposure daily from 4th month to 7nd month. The index turns over about 1/3rd of its exposure each month.
5 months

VIXM Performance Statistics

--
--
--
0.20
0.24
6.68%

VIXM Correlations (Daily Returns 12 Mo)

0.82
-0.75