New answers tagged etf
Better to compute it by yourself either using Historical simmulation, Monte Carlo, or simple parametric method such as variance-covariance. Alternatively subscribe toBloomberg Risk Analytics, populate the ISIN(s) for your ETF(s) and get the relevant metrics.
I'll write it up as a separate answer, though it may be what AlexC actually meant in his comment. VXX is an ETN, not an ETF, so when you buy a share of VXX, you are not buying a share in its holdings, like it is the case for ETFs (from VXX prospectus: "Owning the ETNs is not the same as owning interests in the index components included in the Index or a ...
The price of VXX ETF should not be the price of the mentioned basket of VIX futures. It is the change in price of VXX (the return) what should be equivalent to the change of price of the futures basket with 1 month average maturity. That is because the VXX ETF works as an open end fund, so its price is just the price of a share of that fund, which has an ...
The reason is known as "Contango" See this article for a more detailed explanation VXX: Contango and Cash
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