$UBS AG VelocityShares VIX Short Volatility Hedged ETN(XIVH)$
XIVH的ETN性质发生了180度大转变。原文:The Index Weight (WGT) chart shows the exposure to the S&P 500 VIX Short-Term Futures Index (SPVXSP). Long Vol WGT is 2x leveraged; Short Vol WGT is -1x leveraged. As an example, a Long Vol WGT of 75% and a Short Vol WGT of 25% would have an overall net long exposure to SPVXSP of 125%: (75%*2) (25%*-1) = 125%. Net exposure is as of the 4:15pm ET VIX Futures settlement for the date indicated and is how the products are positioned relative to SPVXSP going into the following business day.翻译:指数权重(WGT)图显示了S&P 500 VIX短期期货指数(SPVXSP)的风险敞口。 Long Vol WGT是2倍杠杆; 短卷WGT是-1x杠杆。 举例来说,75%的Long Vol WGT和25%的Short Vol WGT将对SPVXSP的总净长期暴露达到125%:(75%* 2) (25%* - 1)= 125%。 净风险暴露于指定日期下午4:15 ET VIX期货结算,以及产品相对于SPVXSP进入下一个工作日的定位。然后,当前XIVH的仓位是:2018年2月14日数据,84%的2x做多波动率以及16%的-1x做空波动率,所以整个产品相当于152%做多短期波动率(相当于VXX)。这个改变太可怕了,甚至没有应有的提醒。
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