ProShares VIX Short-Term Futures ETF (VIXY US) – Portfolio Construction Methodology

The underlying S&P 500 VIX Short-Term Futures Index offers constant one-month exposure to VIX futures by holding a daily-rebalanced long portfolio of first- and second-month Cboe VIX futures. Each day the index rolls a fractional notional from the nearer to the next contract so the weighted average time to expiration stays near 30 calendar days; weights transition linearly as the front future approaches expiry. The index is calculated on an excess-return basis, reflecting futures price changes and the roll yield, with no issuer or sector caps and no discretionary selection. Collateral yield is not embedded; cash collateral is assumed external to the index. Rebalancing and roll mechanics occur daily; constituent changes only follow the Cboe VIX futures listing cycle (front and next month). By construction it captures implied volatility term-structure dynamics rather than spot VIX, with performance dominated by futures carry and daily roll.

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