CVOL - C-Tracks ETN Citi Volatility Index Total Return Profile
CVOL Tracks This Index: Citi Volatility Index Total Return
Description: The index is designed to measure directional exposure to the implied volatility of large cap U.S. stocks. The index methodology combines a daily rolling long exposure to the third- and fourth-month futures contracts on the CBOE Volatility Index with a short exposure to the S&P 500 Total Return Index. The VIX futures contracts exposure is constantly maintained, but the weighting of the S&P 500 Total Return Index is variable and determined monthly via a backward-looking linear regression.
Description: The index is designed to measure directional exposure to the implied volatility of large cap U.S. stocks. The index methodology combines a daily rolling long exposure to the third- and fourth-month futures contracts on the CBOE Volatility Index with a short exposure to the S&P 500 Total Return Index. The VIX futures contracts exposure is constantly maintained, but the weighting of the S&P 500 Total Return Index is variable and determined monthly via a backward-looking linear regression.
- Issuer: Citigroup
- Expense Ratio: 1.15%
- ETFdb Category: Volatility
- ETF Home Page: CVOL
- Inception: 2010-11-12
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