VXZ

iPath Series B S&P 500 VIX Mid-Term Futures ETN
*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 five-month maturity. Exposure resets daily.

VXZ Factset Analytics Insight

VXZ offers generic midterm VIX futures exposure in an ETN wrapper. VIX futures allow investors to invest based on their view of the forward implied market volatility of the S&P 500. VXZ and other midterm ETPs provides exposure to VIX futures with average 5-month maturity. As a VIX 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. Structured as an ETN, VXZ carries the counterparty risk of issuer Barclays. VXZ launched under the ticker VXZB as Series B replacement for the original VXZ. The old VXZ was delisted January 2019, and in May 2019, VXZB took over the VXZ ticker. The current VXZ provides identical exposure as the old one with some structural changes.

PERFORMANCE [as of 11/24/21] 1 MONTH 3 MONTHS YTD 1 YEAR 3 YEARS 5 YEARS 10 YEARS
VXZ 1.10% -0.89% -16.28% -16.17% 6.60% -- --
VXZ (NAV) 0.74% -1.38% -16.38% -16.16% 6.35% 21.78% --
S&P 500 VIX Mid-Term Futures Index 0.82% -1.16% -15.70% -15.41% 7.30% -5.26% -20.75%
CBOE Market Volatility Index -- -- -- -- -- -- --
All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

VXZ Summary Data

Barclays
iPath
01/17/18
Exchange-Traded Note
0.89%
$43.70M
$485.97K
0.19%

VXZ Portfolio Data

S&P 500 Mid-Term
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N/A
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VXZ Index Data

S&P 500 VIX Mid-Term Futures Index
Single Asset
Single Asset
CBOE Market Volatility Index

VXZ Portfolio Management

0.89%
-0.75%
0.08%
-1.90%

VXZ Tax Exposures

20.00% / 39.60%
--
No distributions
No

VXZ Fund Structure

Exchange-Traded Note
No
N/A
-- / --
Barclays Bank PLC
Low
High
Daily

VXZ Factset Analytics Block Liquidity

As of 11/25/21
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

19,118
$485.97K
14,034
$343.93K
0.19%
$0.05
0.06%
1.27% / -1.08%
None
100.00%
25,000
0.56
0.00%
--
1,619
$25.70
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

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--
--
--
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VXZ Correlations (Daily Returns 12 Mo)

0.85
-0.76