VIX exchange-traded products (ETPs) provide tracking on the return of a constant-maturity VIX futures index, instead of the uninvestable VIX spot index. In this paper, we develop a comprehensive framework to dissect the tracking performance of regular and leveraged VIX ETPs. In this framework, naïve investors in VIX ETPs expect to achieve the ETP’s leverage ratio multiplied by the VIX return during their holding period, but the actual ETP return can deviate dramatically from this naïve expected return due to four components of return deviation. The index substitution deviation is shown to be the primary driver of the bull (inverse) VIX ETPs’ return erosion (enhancement), which can be explained by the negative roll-yield as a result of the contango term structure of underlying VIX futures index. For leveraged VIX ETPs over multiple holding days, the compounding deviation due to the “constant-leverage trap” can be sizable. In addition, the NAV deviation due to expense ratio and fund management issues is negative, and the inefficiency deviation doesn’t accumulate over long holding periods due to the creation/redemption feature. Our return deviation framework can be generalized to other ETPs tracking indices that are either uninvestable or unrealistic to replicate.

中文翻译：

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剖析常规和杠杆式VIX ETP的跟踪性能

VIX交易所交易产品（ETP）可以跟踪固定期限的VIX期货指数而不是不可投资的VIX现货指数的回报。在本文中，我们开发了一个综合框架来剖析常规VIX ETP和杠杆式ETP的跟踪性能。在这种框架下，VIX ETP的纯朴的投资者期望在持有期间将ETP的杠杆率乘以VIX的收益，但是由于收益率偏差的四个组成部分，实际的ETP收益可能会大大偏离这一纯朴的预期收益。该指数替换偏差被证明是牛市（反向）VIX ETPs回报侵蚀（增强）的主要驱动力，这可以由基础VIX期货指数的期货价格结构的负滚动收益率来解释。对于持有多个交易日的杠杆式VIX ETP，由于“恒定杠杆陷阱”导致的复利偏差可能会很大。此外，由于费用比率和资金管理问题引起的资产净值偏差为负，并且由于创建/赎回功能，效率低下的偏差不会在长期持有期间累积。我们的收益偏差框架可以推广到其他ETP跟踪指数，这些跟踪指数要么不可投资，要么无法复制。