VIXYProShares VIX Short-Term Futures ETF
VIXY Fund Description
VIXY tracks an index with exposure to futures contracts on the CBOE Volatility Index with average 1-month maturity. Exposure resets daily.
VIXY Factset Analytics Insight
VIXY's commodities pool structure sets it apart from the other two short-term VIX ETPs, which cover the volatility space as ETNs. As such, VIXY avoids the counterparty risk and the lack of tangible assets associated with ETNs, but requires annual marked-to-market tax reporting on K-1's. Our Fit score compares the 12-month performance of volatility ETPs to the VIX itself, not to futures on the VIX, and no VIX-tracking ETP comes close to measuring up. However, if you're trying to bet tactically on VIX movements, short-term ETPs like VIXY are about as good as it gets, with higher correlations with and higher beta to the VIX than midterm ETPs. Longer-term investors should be aware that they stand to lose significant sums of money via positional decay due to persistent contango in VIX futures contracts. The fund trades well, with thin spreads, and block-trading costs should be low for larger investors. VIXY charges a reasonable expense ratio for a fairly specialized product, but investors do need to bear in mind that the fund distributes K-1s annually.
VIXY Portfolio Management
VIXY Tax Exposures
VIXY Fund Structure
VIXY Factset Analytics Block Liquidity
This measurement shows how easy it is to trade a $1 million USD block of VIXY. VIXY is rated a 5 out of 5.
VIXY 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.