AccuShares, the firm that patented its methodology for capturing spot prices, has filed for another pair of long/short funds; these will target VIX futures prices. The AccuShares S&P 500 VIX Front-Month Futures Index Up Shares (VFUP) and AccuShares S&P 500 VIX Front-Month Futures Index Down Shares (VFDN), however, will not target spot prices; rather, they will look to capture the performance of the actual front-month futures.
The AccuShares approach is similar to the one taken by MacroMarkets a few years ago, except it requires monthly or quarterly rebalances that distribute gains and reset the prices. The firm launched its first pair of funds in May of last year; the AccuShares Spot CBOE VIX Up Shares (VXUP | F) and the AccuShares Spot CBOE VIX Down Shares (VXDN) look to track the CBOE Volatility Index exactly, rather than investing in futures, which do not reflect the performance of the real-time index.
Essentially, the funds hold cash and shift assets between each other in response to the movements of their underlying index. In addition to being able to closely track their underlying benchmarks, the only drag on the funds’ returns is their expense ratio.
AccuShares has six more pairs of up/down ETFs in registration, all covering spot commodity prices.
VFUP and VFDN will list on the Nasdaq Stock Exchange and come with an expense ratio of 0.95%.
Contact Heather Bell at [email protected].