I am trying to understand how SVXY price is impacted thru the VIX Futures change-over each month. This should be in the Prospectus, but my eyes glaze over before I find the "beef". I have a rough understanding of the changing ratio of short Front month /VX to short next month /VX, but there seems to be a tweak or resizing that also occurs that I would like to understand. Preferably if someone could point me to the page and paragraph of the detail for this within the Prospectus, I will be most grateful. Pardon my ignorance for Prospectus data extraction!
just a quick google away..... http://investing.kuchita.com/2014/0...g-model-since-vix-futures-are-available-2004/
Not SVXY specifically, but VXX - however it should be similar: https://www.elitetrader.com/et/thre...-two-nearest-futures-vxx.309552/#post-4457659
i960: Thanks. I knew I had seen that before, but my memory keeps leaking out somewhere! Many thanks for you guys helping an old forgetful fart.