Volatility Strategy FAQs

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Do I have exposure to credit risk?

Yes, the ETNs are senior unsecured debt instruments issued by UBS.

Did Janus Capital issue the ETNs?

No, VelocityShares is a brand owned by Janus Capital. The Dynamic Volatility ETNs are issued by UBS.

What are the fees?

Each ETN has a “Daily Investor Fee” of 1.30% per annum, as described in the applicable prospectus supplement. In addition, each ETN is subject to the “Futures Spread Fee,” as described in the applicable prospectus supplement, which is an uncapped fee intended to approximate the hypothetical cost of buying and selling the number of first and second month VIX futures that would be necessary to replicate the performance of the applicable underlying index.

Do the ETNs generate K1s?

No, the ETNs do not generate K-1s.

Where can I buy these ETNs?

The VelocityShares Volatility – Strategy ETNs are listed on NYSE ARCA. Janus Capital does not make markets in the ETNs. Investors must transact through their own broker dealer to transact in the securities.

How much should I allocate to these strategies?

The VelocityShares product specialist team, a division of Janus Capital, does not make specific recommendations for institutional portfolios; however, our team can help those institutional investors understand the potential impact the ETNs may have to a given portfolio.

How do I know which product to use in a portfolio?

Each underlying index has a target volatility position which enables sophisticated investors to analyze the potential impact each index has within a portfolio.

Does the product use put and call options on VIX Futures?

The underlying indices are futures based and do not use put and call option pricing to determine their net long or short position.

How is the return calculated?

The return for each ETN will be based upon the daily performance of the applicable underlying index less the “Daily Investor Fee” and the “Futures Spread Fee,” as described in the applicable prospectus supplement.

Do these products match/replicate a direct position in the VIX®?

No, the ETNS are not linked to the VIX®. Each product is linked to the applicable S&P Index as described in the applicable prospectus supplement.

The VelocityShares Tactical VIX ETNs are trading tools designed to be held for just one day. Does the same hold true for the Volatility Strategy ETNs?

No, the dynamic volatility strategies are intended for sophisticated investors to use as part of an overall diversified portfolio. There is no stated or recommended holding period, but these strategies should not be used as a buy and hold investment. The dynamic volatility strategies are designed to achieve their stated investment objectives over the short-term, and their performance over longer periods of time may differ from their stated objectives. Thus, these strategies should be used only by sophisticated investors who will actively and frequently monitor their investment, even intraday.

What are the investment objectives of the ETNs?

Each series of ETNs is designed to provide a delta one exposure to the S&P 500 VIX Futures Variable Long/Short Index – Short Term, the S&P 500 VIX Futures Short Volatility Hedged Index – Short Term, or the S&P 500 VIX Futures Tail Risk Index – Short Term before taking into account the Daily Investor Fee and the Futures Spread Fee, as described in the applicable prospectus supplement.

Where is the Volatility Strategy Prospectus Suppliment?

Click here for the Volatility-Strategy prospectus supplement.

What are the VelocityShares Volatility-Strategy ETNs?

The VelocityShares Volatility-Strategy Exchange Traded Notes (“the ETNs”) are issued by UBS AG (“UBS”). The ETNs are senior, unsecured obligations of UBS which are designed to provide sophisticated investors with the opportunity to achieve a positive expected return from either the roll yield in VIX futures or a large increase in volatility.

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ETN Risks

Important information about the VelocityShares ETNs is contained within the current prospectuses. For more complete information regarding the VelocityShares ETNs, download a prospectus from this site, call 1-877-5-VELOCITY or 1-203-992-4301, or write to Prospectus Inquiry, VelocityShares, 17 Old Kings Highway S, Darien, CT, 06820 to request a prospectus. You should read the prospectus carefully before making an investment decision.

The ETNs are not suitable for all investors. In particular, the ETNs should be purchased only by sophisticated investors who understand the consequences of investing in volatility indices and of seeking inverse or leveraged investment results, who understand the path dependence of the underlying indices and the ETNs, who do not intend to hold the ETNs as a buy and hold investment and who are willing to actively and frequently monitor their investment, even intraday. The ETNs are designed to achieve their stated investment objectives over the short-term, and the effect of non-continuous rebalancing and the resulting path-dependent nature of the exposure of each series of ETNs means that the ETNs may deviate significantly from their target exposure (and may even have exposure that is inverse to their respective intended target exposures) and may therefore fail to achieve their goal, particularly over longer periods of time. Therefore, it is likely that you will suffer significant losses even if the level of the CBOE Volatility Index® (the “VIX Index”) or the S&P 500 VIX Short-Term Futures Index increases over the long term. In addition, the need to maintain a constant exposure to VIX futures creates the potential for positive or negative returns based on the shape of the VIX futures curve (i.e. whether the market for VIX futures is in contango or in backwardation). These changes are separate from outright movements in VIX futures. As a result, the return on a position in VIX futures may vary significantly from the percentage changes of the VIX Index itself. Typically, though not in all market conditions, this “roll cost” significantly decreases the return for investors who are long VIX futures. As a result of this “roll cost” and other factors that may cause the value of your ETNs to decrease, including the effects of daily and quarterly rebalancing and the combined negative effect of the “Daily Investor Fee” and the “Futures Spread Fee” (each as described in the applicable prospectus supplement), there is a significant possibility that the amount payable on the ETNs at maturity or upon call, early redemption or acceleration will be less than the amount of your initial investment in the ETNs, and that you will lose part or all of your initial investment if you hold the ETNs for a long period of time. UBS does not expect that any investor will hold the ETNs from inception to maturity.

The ETNs do not guarantee any return of principal at maturity and do not pay any interest during their term.

Although we intend to list the ETNs on NYSE Arca, a trading market for your ETNs may not develop. We are not required to maintain any listing of the ETNs on NYSE Arca or any other exchange.

Prior to maturity, you may, subject to certain restrictions described in the prospectus, offer the applicable minimum number of your ETNs to the issuer for redemption on a Redemption Date (as defined in the prospectus). You must offer for redemption at least the applicable minimum number of ETNs (typically 25’000 or 50’000 depending on the product) as set forth in the pricing supplement, or an integral multiple in excess thereof, at one time in order to exercise your right to cause the issuer to redeem your ETNs on any Early Redemption Date. In addition, the issuer may charge investors a redemption charge of a percentage of the stated principal amount of any ETN that is redeemed at the investor’s option, at a rate as indicated in the applicable pricing supplement. Please see the applicable pricing supplement for fees or charges relating to the ETNs.

Any payment on the Securities is subject to the ability of UBS AG to satisfy its obligations as they become due.

The risks listed above are not exhaustive. Investors should review the prospectus for each ETN, including all risk factors set forth therein, and consult their independent tax, accounting, legal and financial advisors before investing in any ETN.

The information in this section of the website may not be accessed in respect of any member state of the European Economic Area (“EEA”) by persons who are retail investors. The securities referred to herein are not to be offered, sold or otherwise made available to to any retail investor in the EEA and any person who is a retail investor in the EEA should not act or rely on this information or any of its contents. For these purposes, a retail investor means a person who is one (or more) of: (i) a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU (as amended, “MiFID II”); (ii) a customer within the meaning of Directive 2002/92/EC (the “Insurance Mediation Directive”), where that customer would not qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II; or (iii) not a qualified investor as defined in Directive 2003/71/EC (as amended, the “Prospectus Directive”).

VelocityShares® is a trade name used by Janus Distributors LLC, a registered U.S. broker-dealer, in connection with the services and products described herein.

“VelocityShares” and the VelocityShares logo are trademarks of Janus International Holding LLC. Janus Index and Calculation Services LLC (“Janus Index”) is the licensor of certain trademarks, service marks and trade names of Janus International Holding LLC and of certain Indices, which are determined, composed and calculated by Janus Index without regard to the issuer of the any securities which may be linked to such indices. Neither Janus, Janus Index nor any other party guarantees the accuracy and/or the completeness of the indices or any date included therein.

“Standard & Poor’s®”, “S&P®”, “S&P 500®”, “Standard & Poor’s 500™”, and “S&P 500 VIX Short-Term Futures™” are trademarks of Standard & Poor’s Financial Services LLC (“S&P”) and have been licensed for use by Janus Index & Calculation Services. “VIX” is a trademark of the Chicago Board Options Exchange, Incorporated (“CBOE”) and has been licensed for use by S&P. The ETNs are not sponsored, endorsed, sold or promoted by S&P or CBOE and S&P and CBOE make no representation regarding the advisability of investing in the ETNs.

Securities Products: Are Not FDIC Insured * Are Not Bank Guaranteed * May Lose Value

This site is for informational purposes only. Nothing herein constitutes a solicitation, offer or recommendation by VelocityShares or its affiliates to buy or sell securities. VelocityShares does not render investment, tax, accounting or legal advice. The securities discussed herein are complex products and may not be suitable for all investors and should only be used by knowledgeable investors who understand the potential consequences of seeking inverse or leveraged investment results. Investors should actively monitor their investments in the securities. Investors should review the prospectus for each security and make their own investment decisions based on their specific investment objectives and financial position and after consulting independent tax, accounting, legal and financial advisors. VelocityShares will receive a fee from the issuers of the products discussed on this site based on the quantity of products outstanding.

Past performance does not predict future performance. The value of the securities may decrease and investors may lose some or all of their investment.

Janus Distributors LLC, a registered broker-dealer, will only transact business in states in which it is registered, unless it is otherwise excluded or exempted from being registered in such state.

Please see “VelocityShares Terms of Use” for additional information regarding use of this website.