VIXMProShares VIX Mid-Term Futures ETF
VIXM Fund Description
VIXM tracks an index of futures contracts on the CBOE Volatility Index with an average of five months until maturity. Exposure resets daily.
VIXM Factset Analytics Insight
VIXM provides generic midterm VIX futures exposure in an ETF rather than an ETN. VIX futures allow investors to invest based on their view of the forward implied market volatility of the S&P 500. VIXM and other midterm ETPs provides exposure to VIX futures with average 5-month maturity. 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. Investors should be aware of their expected position decay due to persistent contango in VIX futures, historically. As an ETF, the fund is structured as a commodity pool and thus avoids counterparty risk, but delivers K-1’s at tax time.
VIXM Portfolio Management
VIXM Tax Exposures
VIXM Fund Structure
VIXM Factset Analytics Block Liquidity
This measurement shows how easy it is to trade a $1 million USD block of VIXM. VIXM is rated a 5 out of 5.
VIXM 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.