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 one-month maturity. Exposure resets daily.
VIXY Factset Analytics Insight
VIXY offers exposure to short-term VIX futures in a commodity pool structure, which sets it apart from the other 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. 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. Longer-term investors should be aware of their expected position decay due to due to persistent contango in VIX futures, historically.
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.