XVZ
iPath S&P 500 Dynamic VIX ETNXVZ Fund Description
XVZ tracks an index that can take long or short positions on futures contracts on the CBOE Volatility Index depending implied changes in forward volatility.
XVZ Factset Analytics Insight
XVZ splits its exposure between two VIX futures indexes: a short-term index (tracking first- and second-month VIX futures) and a mid-term index (tracking futures four to seven months from expiration). It allocates this exposure based on the relative difference between two indicators: 30- and 93-day implied forward volatility on the S&P 500. When the 30-day metric is significantly higher than the 93-day version—implying decreasing volatility over the next 3 months—XVZ will split its exposure equally between short- and mid-term VIX futures. When flat or rising volatility is indicated—which is the case most days—XVZ will increase its mid-term exposure while decreasing its short-term position, potentially even going up to 30% short the short-term futures index. One effect of this methodology is to increase the note’s net exposure to VIX futures after the VIX rises, and decrease it after it falls. XVZ adjusts its exposure daily.Two essential caveats: 1) VIX futures deliver poor long-term exposure to the VIX; and 2) VIX ETPs have collectively erased vast sums of investor capital throughout their history. The first caveat is especially relevant to XVZ. The ETN’s shifting exposure to VIX futures produces a return pattern with very low correlation to the VIX. But that might be a good thing; the ETN has historically lost far less money than more closely correlated VIX ETPs. Still, XVZ typically fails to deliver meaningful volatility exposure. On top of this, the note is difficult to trade and expensive to hold.
XVZ Charts And Performance
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1 Month
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3 Months
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YTD
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1 Year
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3 Years
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5 Years
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Max
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1 Month
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3 Months
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YTD
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1 Year
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3 Years
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5 Years
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Max
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XVZ Summary Data
XVZ Portfolio Data
XVZ Index Data
XVZ Portfolio Management
XVZ Tax Exposures
XVZ Fund Structure
XVZ Factset Analytics Block Liquidity
This measurement shows how easy it is to trade a $1 million USD block of XVZ. XVZ is rated a 5 out of 5.
XVZ Tradability
XVZ 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.
XVZ Term Structure
XVZ Performance Statistics
XVZ Correlations (Daily Returns 12 Mo)
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