Jefferies Files To Offer S&P 500 VIX ETF
April 26, 2010
Jefferies Asset Management, a Stamford, Conn.-based money-management firm known for its commodity exchange-traded funds, filed via an affiliate to offer an ETF giving investors exposure to VIX volatility futures, the so-called fear index that typically spikes when the S&P 500 Index plunges.
The Jefferies S&P 500 VIX Short-Term Futures ETF will trade on the New York Stock Exchange under the symbol “VIXX,” and has an expected annual management fee of 0.49 percent of assets. It didn’t say when it will roll out the fund.
The fund will take long positions in futures contracts underlying the VIX Futures Index, and aims to track changes, whether positive or negative, in the level of the VIX Futures Index over time, the filing said. The Fund doesn’t intend to outperform the VIX Futures Index.
The underlying VIX Index is designed to estimate expected volatility in large cap U.S. stocks over 30 days in the future by averaging the weighted prices of certain put and call options on the S&P 500 Index.
Because the Volatility Index may increase in times of uncertainty, the Volatility Index is commonly known as the “fear gauge” of the broad U.S. equities market. The Volatility Index has historically had negative correlations to the S&P 500 Index, the filing said.
VIXX has the potential to be the first ETF tied to the VIX index—there’s already two exchange-traded notes tracking the VIX index. The iPath S&P 500 VIX Short-Term Futures ETN (NYSEArca: VXX) and iPath S&P 500 VIX Mid-Term Futures ETN (NYSEArca: VXZ) invest in different parts of the VIX futures curve. VXX provides exposure to first- and second-month contracts tied to the underlying index, while VXZ invests in fourth-, fifth-, sixth- and seventh-month VIX futures contracts. Both charge management fees of 0.89 percent.
Jefferies’ existing ETFs include the Jefferies | TR/J CRB Global Commodity Equity Index Fund (NYSEArca: CRBQ), the Jefferies | TR/J CRB Global Industrial Metals Equity Index Fund (NYSEArca: CRBI), the Jefferies | TR/J CRB Global Industrial Metals Equity Index Fund (NYSEArca: CRBI) and the Jefferies | TR/J CRB Wildcatters Exploration & Production Equity ETF (NYSEArca: WCAT).
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