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Top Twenty VIX Proxy ETFs and CEFs As Of August 2nd, 2007

Posted August 2nd, 2007 by Michael J Bomma...

    The following is a table showing the 5- and 20-session log-return correlations of the ETFs and CEFs to the CBOE VIX volatility index.  Score is a weighted average of the 5- and 20-session correlations, with the 5-day weighted 30% and the 20-day weighted 70%. 

Symbol 5-Day 20-Day Score
DOG 68.93% 83.25% 0.79
SIJ 70.24% 83.64% 0.8
SH 73.77% 83.46% 0.81
DXD 76.40% 82.98% 0.81
TIP 87.45% 78.88% 0.81
SFK 77.67% 83.55% 0.82
GVI 85.75% 80.92% 0.82
SCC 79.74% 85.63% 0.84
SJH 78.04% 86.38% 0.84
BND 94.06% 80.03% 0.84
CIU 94.47% 81.39% 0.85
SHY 93.40% 82.50% 0.86
FXY 88.10% 85.57% 0.86
SKF 82.30% 88.18% 0.86
BIV 97.14% 82.40% 0.87
AGG 92.90% 84.43% 0.87
IEI 91.83% 85.89% 0.88
TLT 98.22% 83.56% 0.88
IEF 95.42% 86.78% 0.89
TLH 97.58% 87.05% 0.9

    As you can see easily, the majority of the funds present are treasury assets of various maturities and short funds.  Notable amongst these, however, is FXY, the CurrencyShares Yen Trust.  Though speculation over the carry trade has proven spotty at best over the past year, it seems reasonable to accept this as some evidence of unwinding carry trade.