XVZiPath S&P 500 Dynamic VIX ETN
XVZ Fund Description
XVZ tracks an index that can take long or short positions on futures contracts on the CBOE Volatility Index depending on implied changes in forward volatility.
XVZ Factset Analytics Insight
This note is maturing. The last day of trading will be August 17, 2021. XVZ provides exposure between two VIX futures indexes: a short-term (first- and second-month VIX futures) and a mid-term index (futures four to seven months from expiration). It allocates exposure based on the difference between two indicators: 30- and 93-day implied forward volatility on the S&P 500. When the 30-day metric is higher than the 93-day (decreasing volatility over the next 3 months), XVZ will split its exposure equally on short- and mid-term VIX index. During flat or rising volatility, XVZ will increase its mid-term while decreasing its short-term position. This strategy effectively increases the net exposure to VIX futures after the VIX rises, and decrease it after it falls. XVZ adjusts its exposure daily. Two caveats to consider, VIX futures deliver poor long-term exposure to the VIX, and VIX ETPs have collectively erased vast sums of investor capital throughout their history. The ETN’s shifting exposure to VIX futures produces a very low correlation to the VIX.
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 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.