Referrer URL:
XVZ ETF Report: Ratings, Analysis, Quotes, Holdings | ETF.com

XVZ

iPath S&P 500 Dynamic VIX ETN
*Unless otherwise stated, data provided by FactSet.

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

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.

PERFORMANCE [as of 05/12/21] 1 MONTH 3 MONTHS YTD 1 YEAR 3 YEARS 5 YEARS 10 YEARS
XVZ 0.78% -2.70% 4.04% 3.94% 26.75% 7.04% --
XVZ (NAV) 1.59% -3.03% 3.44% 5.13% 26.74% 6.93% --
CBOE Market Volatility Index -- -- -- -- -- -- --
All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

XVZ Summary Data

iPath
08/17/11
Exchange-Traded Note
0.95%
$13.28M
$132.33K
0.78%

XVZ Portfolio Data

Trend-Following
0.00%
N/A
0

XVZ Index Data

Technical
Single Asset
CBOE Market Volatility Index

XVZ Portfolio Management

0.95%
--
--
--

XVZ Tax Exposures

20.00% / 39.60%
--
No distributions
No

XVZ Fund Structure

Exchange-Traded Note
No
N/A
N/A / N/A
Barclays Bank PLC
Low
High
Daily
Cboe Book Viewer
Top Of Book
Last 10 Trades
Bats BZX Real-time Quote -

XVZ Factset Analytics Block Liquidity

As of 05/13/21
5
4
3
2
1

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

3,395
$132.33K
1,508
$59.97K
0.78%
$0.30
0.57%
2.45% / -0.94%
None
100.00%
50,000
0.03
0.05%
--
0
$38.86
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.

XVZ Term Structure

XVZ's index allocates dynamically to short term and mid term VIX futures indexes depending on the term structure
Variable

XVZ Performance Statistics

--
--
--
0.06
0.13
7.63%

XVZ Correlations (Daily Returns 12 Mo)

0.23
-0.40