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 5 months until maturity. Exposure resets daily.

VIXM Factset Analytics Insight

VIXM provides generic midterm VIX futures exposure in an ETF rather than an ETN, but weak liquidity greatly reduces its appeal. Two major caveats: 1) volatility ETPs deliver poor long-term exposure to the VIX index; and 2) volatility ETPs erased vast sums of investor capital over the past 12 months. VIXM and other midterm ETPs provide exposure to VIX futures with average 5-month maturity. The midterm approach lost less money than short-term exposure over the past 12 months, but bore little resemblance to the VIX’s pattern of returns, as reflected by VIXM’s poor Fit. While its returns are interchangeable with the other 2 midterm ETPs, VIXM is structured as a commodity pool, not an ETN. As such, it avoids counterparty risk, but delivers K-1’s at tax time. The fund trades at wider spreads, an important drawback in this tactical space.

VIXM Charts And Performance

Price Chart ($)
Total Return Chart (%)
  • 1 Month
  • 3 Months
  • YTD
  • 1 Year
  • 3 Years
  • 5 Years
  • Max
  • 1 Month
  • 3 Months
  • YTD
  • 1 Year
  • 3 Years
  • 5 Years
  • Max
Compare
Reset
Select ETFs to compare their performance:
PERFORMANCE [as of 12/03/19] 1 MONTH 3 MONTHS YTD 1 YEAR 3 YEARS 5 YEARS 10 YEARS
VIXM 2.27% -5.36% -14.17% -0.31% -19.06% -17.39% --
VIXM (NAV) 1.64% -3.94% -14.67% -3.97% -19.42% -17.64% --
S&P 500 VIX Mid-Term Futures Index 2.79% -4.49% -12.92% 1.27% -18.05% -16.50% --
N/A -- -- -- -- -- -- --
All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

VIXM Summary Data

ProShares
01/04/11
Commodities Pool
0.87%
$47.98M
$1.17M
0.21%

VIXM Portfolio Data

S&P 500 Mid-Term
0.00%
12/24/19
1

VIXM Index Data

Single Asset
Single Asset
N/A

VIXM Portfolio Management

0.87%
-1.40%
-0.98%
-2.68%

VIXM Tax Exposures

27.84% / 27.84%
--
No distributions
Yes

VIXM Fund Structure

Commodities Pool
Yes
N/A
No Policy
N/A
N/A
Medium
Daily
Cboe Book Viewer
Top Of Book
Last 10 Trades
Bats BZX Real-time Quote -

VIXM Factset Analytics Block Liquidity

As of 12/04/19
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

50,247
$1.17M
20,327
$446.74K
0.21%
$0.05
0.00%
1.66% / -1.07%
None
100.00%
25,000
0.81
0.04%
--
13,113
$22.74
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

0.77
0.18
--
0.20
0.24
6.68%

VIXM Correlations (Daily Returns 12 Mo)

0.87
-0.82