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XVZ: A Dynamic Volatility Strategy ETN

Barclays introduced the iPath S&P 500 Dynamic VIX ETN (XVZ) on August 18, 2011, providing investors with exposure to a strategy that dynamically allocates between short-term and mid-term VIX futures contracts. The new exchange-traded notes (“ETNs”) will track the S&P 500 Dynamic VIX Futures Total Return Index minus a 0.95% annual investor fee.  The index dynamically allocates between the S&P 500 VIX Short-Term Futures Index Excess Return and the S&P 500 VIX Mid-Term Futures Index Excess Return by monitoring the steepness of the implied volatility curve.  It seeks to react positively to overall increases in market volatility and aims to lower the roll cost of investments linked to future implied volatility. The Implied Volatility Term Structure (“IVTS”) is the ratio . . . → Read More: XVZ: A Dynamic Volatility Strategy ETN
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