VIXY

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

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.

PERFORMANCE [as of 07/23/21] 1 MONTH 3 MONTHS YTD 1 YEAR 3 YEARS 5 YEARS 10 YEARS
VIXY 0% -24.76% -54.93% -74.83% -37.74% -47.02% -48.26%
VIXY (NAV) -0.03% -24.83% -55.02% -75.11% -37.60% -46.99% -48.25%
S&P 500 VIX Short-Term Futures Index 0.07% -24.60% -54.72% -74.83% -36.87% -- --
CBOE Market Volatility Index -- -- -- -- -- -- --
All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

VIXY Summary Data

ProShares
01/03/11
Commodities Pool
0.85%
$284.48M
$99.52M
0.04%
VXX

VIXY Portfolio Data

S&P 500 Short-Term
0.00%
N/A
3

VIXY Index Data

Single Asset
Single Asset
CBOE Market Volatility Index

VIXY Portfolio Management

0.85%
-1.15%
-0.20%
-1.75%

VIXY Tax Exposures

27.84% / 27.84%
--
No distributions
Yes

VIXY Fund Structure

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

VIXY Factset Analytics Block Liquidity

As of 07/27/21
5
4
3
2
1

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 Tradability

3,555,550
$99.52M
3,112,790
$79.79M
0.04%
$0.01
0.03%
300.31% / -1.32%
None
100.00%
25,000
124.51
0.04%
--
43,124
$24.75
5

VIXY Exposure

100.00%

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.

VIXY Term Structure

VIXY's index rolls a part of its VIX futures exposure daily from front month to 2nd month. The index turns over 100% of its exposure each month.
1 Month

VIXY Performance Statistics

--
--
--
0.49
0.46
4.65%

VIXY Correlations (Daily Returns 12 Mo)

0.91
-0.71