The C-Tracks Citi Volatility ETN (CVOL | D-50) is up 21 percent year-to-date.
The CBOE Volatility Index, or VIX, saw record trading volume in January as it reached new highs. The index, also known as the fear gauge, is considered to be a good indicator of market sentiment. In recent weeks, its spike has come down, as the S&P 500 slid more than 5.2 percent since the beginning of the year.
CVOL tracks an index with double exposure to the third- and fourth-month futures on the VIX, as well as short exposure to the S&P 500 Index. It’s designed to serve up high correlation to the VIX, and for a high cost—its expense ratio is 1.15 percent, and its average trading spread is clocking in at 2.25 percent.
That puts investor costs of owning this strategy at roughly 3.40 percent a year, or $340 per $10,000. The strategy has only attracted $3.8 million in total assets.