VXZ

iPath Series B S&P 500 VIX Mid-Term Futures ETN
D

45
*Unless otherwise stated, data provided by FactSet.

VXZ Fund Description

VXZ tracks an index with exposure to futures contracts on the CBOE Volatility Index with average 5-month maturity. Exposure resets daily.

VXZ Factset Analytics Insight

VXZ offers generic midterm VIX futures exposure in a liquid ETN wrapper. Two immediate 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. Any investor in volatility ETPs should be aware of their expected position decay due to persistent contango in VIX futures contracts. A midterm ETP like VXZ tends to lose less money to contango, but also struggles to reflect the VIX even more than short-term products. While its returns are interchangeable with those of other midterm ETPs, VXZ charges a reasonable fee and tracks well. Like most peers in the volatility space, VXZ is structured as an ETN, carrying the counterparty risk of issuer Barclays. VXZ launched under the ticker VXZB as “Series B” replacement for the original VXZ. VXZB took over the VXZ ticker in May 2019. The old VXZ launched in Jan 2009 and delisted Jan 2019. The current VXZ provides identical exposure as the old VXZ with some structural changes, including an issuer call capability, reduced expense ratio and a non-path-dependent fee structure.

VXZ 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 08/15/19] 1 MONTH 3 MONTHS YTD 1 YEAR 3 YEARS 5 YEARS 10 YEARS
VXZ 13.52% 7.73% -11.84% 11.14% -- -- --
VXZ (NAV) 13.22% 7.74% -11.15% 10.52% -- -- --
S&P 500 VIX Mid-Term Futures Index 13.31% 7.98% -10.66% 11.50% -19.17% -16.09% --
N/A 67.03% 28.83% -16.68% 44.67% 21.50% 10.01% -1.35%
All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

VXZ Summary Data

iPath
01/17/18
Exchange-Traded Note
0.89%
$23.21M
$523.38K
0.24%

VXZ Portfolio Data

S&P 500 Mid-Term
--
N/A
0

VXZ Index Data

Single Asset
Single Asset
N/A

VXZ Portfolio Management

0.89%
-0.85%
-0.69%
-1.11%

VXZ Tax Exposures

20.00% / 39.60%
--
No distributions
No

VXZ Fund Structure

Exchange-Traded Note
No
N/A
N/A / N/A
Barclays Bank PLC
Low
High
Daily
Cboe Book Viewer
TOP OF BOOK
LAST 10 TRADES
Bats BZX Real-time Quote -
Daily Spread
Premium/Discount
Volume

VXZ Factset Analytics Block Liquidity

As of 08/19/19
5
4
3
2
1

This measurement shows how easy it is to trade a $1 million USD block of VXZ. VXZ is rated a 5 out of 5.

VXZ Tradability

28,206
$523.38K
13,791
$241.12K
0.24%
$0.04
-0.05%
3.29% / -8.98%
None
100.00%
25,000
0.55
0.00%
--
7,790
$19.72
5

VXZ 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.

VXZ Term Structure

N/A
N/A

VXZ Performance Statistics

0.75
0.18
--
--
--
--

VXZ Correlations (DAILY RETURNS 12 MO)

0.87
-0.81

Rolling 30-day Correlation to VIX Index