I understand that VIX futures are usually in contango and so a portfolio that holds futures with a weighted average expiration of 30 days will "roll" down to equal the VIX index at maturity.
This is usually given as the reason why XIV makes money most of the time.
But a portfolio that holds VIX futures with a weighted average expiration of 30 days has to keep adjusting its weightings as time passes, adding more weight to the 2nd future. This means that although the falling value of the front contract reduces this weighted average, the purchase of more 2nd month futures pushes up the weighted average.
So are we saying that the loss from the fall in value in the first contract is greater than the gain in weighted average from moving into higher valued 2nd month options?