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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