VIXMProShares VIX Mid-Term Futures ETF
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 Portfolio Management
VIXM Tax Exposures
VIXM Fund Structure
VIXM Factset Analytics Block Liquidity
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 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.