VXZiPath Series B S&P 500 VIX Mid-Term Futures ETN
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 Portfolio Management
VXZ Tax Exposures
VXZ Fund Structure
VXZ Factset Analytics Block Liquidity
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 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.