Information on Volatility Linked ETPs

Leveraged Long Volatility Linked ETPs

Leveraged Long Short-Term Volatility Linked ETPs

There are two ETPs available that offer a leveraged short-term volatility linked futures return. These are commonly referred to as a leveraged long short-term futures ETP and offer daily returns equal to two times an index that holds the front two month futures contracts in a way that results in a consistent one -month maturity. There are often questions with respect to the performance of a leveraged ETP relative to their unlevered counterpart. More information about the performance comparison of leveraged to non-leveraged ETPs may be found here.

More information for each of these leveraged long short-term exchange traded products may be found by clicking on the ETP’s name on the table below.

Exchange Traded Product Brand Issuer Strategy Ticker
ProShares Ultra VIX Short-Term Futures ETF ProShares ProShares Two Times Daily One Month Maturity with VIX Futures UVXY
VelocityShares Daily 2x VIX Short-Term ETN VelocityShares Credit Suisse AG Two Times Daily One Month Maturity with VIX Futures TVIX

Leveraged Long Mid-Term Volatility Linked ETP

There is also one exchanged traded not that offers double the daily performance of a consistent five month maturity of VIX futures through holding a portfolio of VIX futures contracts. This exchange traded product is referred to as being leveraged mid-term and will hold positions in the fourth, fifth, sixth, and seventh month futures contracts. Again, questions about leveraged versus non-leveraged ETP performance are addressed here.

Exchange Traded Product Brand Issuer Strategy Ticker
VelocityShares Daily 2x VIX Medium Term ETN VelocityShares Credit Suisse AG Two Times Daily Five Month Maturity with VIX Futures TVIZ

 


Why don't inverse exchange traded products have the inverse performance of their long counterparts?




Why don't two times leveraged exchange traded products offer twice the performance of their long counterparts?



Investments in ETPs involve risk, including the possible loss of principal, and are not appropriate for all investors. Non-traditional ETPs, including leveraged and inverse ETPs, pose additional risks and can result in magnified gains or losses in an investment. Specific risks are outlined in the fund prospectus and may include concentration risk, correlation risk, counterparty risk, credit risk, market risk, interest rate risk, volatility risk, tracking error risk, among others. Investors should consult with their tax advisors to determine how the profit and loss on any particular investment strategy will be taxed. Tax laws and regulations change from time to time and may be subject to varying interpretations. The information in this program is provided for general education and information purposes only. No statement within this program should be construed as a recommendation to buy or sell a security or to provide investment advice.

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