The REX VolMAXX Short VIX Futures Strategy Fund was the best performing ETF in the US, excluding leveraged products, for calendar year 2017 according to Bloomberg data.
Over the course of the year, VMIN turned in a total return of 190.57 per cent.
Launched in 2016, VMIN provides short exposure to movements in the VIX Index. As the first ETF of its kind, VMIN seeks to track movements that most accurately reflect the VIX Index by maintaining a weighted average time to expiry of its investments in VIX contracts of less than one month. Even though the VIX Index performance over the period was only down 21.37 per cent in 2017, fund investors generally benefitted from rolling short VIX futures contracts that led to outperformance.
“Since the launch of VMIN in May of 2016, we believe the market environment has been ideal for short volatility strategies,” says Greg King, founder and CEO of REX Shares. “Through the first three weeks of 2018 the VIX has had an average closing level of 10.30, and we expect the debate to continue as to whether and when things will change.”
Laura Morrison, Senior Vice President, Global Head of Exchange-Traded Products at Cboe, says: “As both the home of the Cboe Volatility Index, and the listing venue for VMIN, we couldn’t be more proud of this fund’s continued success and strong uptake among investors of every sort. VMIN absolutely proves the utility of ETPs in packaging investment strategies into accessible products, and we look forward to more innovations from REX in the future.”
During 2017, VMIN maintained a weighted average time to expiration of less than one month at all times. As a result, it experienced a correlation with the VIX Index of -0.93 and a beta to the VIX Index of -0.46. During this period, the S&P 500 VIX Short Term Futures Inverse Daily Index experienced a return of 183.71 per cent, a correlation with the VIX Index of -0.89 and a beta to the VIX Index of -0.38. In general, the shorter weighted average time to expiration of VMIN contributed to a higher inverse beta and correlation to the VIX Index, which led to a stronger positive performance during a period that experienced relatively low levels of volatility.