VXX - XXV Arbitrage ?

Happy New Year, traders! Hope that 2011 will be a healthy and prosperous for you and your loved ones!

I don't watch XXV on a daily basis, but few days ago noticed an interesting pattern: since XXV started trading few months ago it did not rise as much as VXX fell, in other words, XXV did not exactly replicate "short VXX" I don't know why it has happened - was it because of transaction costs, or some other reason - I don't have an explanation, but looking at some basic stats I think it maybe an idea for a trade. Before I proceed I must disclose that I don't intend to put this trade on myself as I am busy with my main trading activities, but I do believe this can be an actual trading opportunity for someone else. Ok, here's the numbers: since 8/4/2010 VXX had an average daily return of -0.75%, and XXV +0.31%, total of 0.44%. That means that if an investor were to enter a portfolio of short VXX and short XXV without any costs, they could capture a daily return of 0.44%. The pattern persist across the time - in Dec it is 0.89%, Nov 0.12%, Oct 0.76%, Sep 0.44%. In August the number is -0.09%, but I think that is because of the excess volatility in the first few days of XXV trading. A trader with ability to borrow these two instruments can short both VXX and XXV, pay short interest (very reasonable compared with ETN gains) and walk away with a profit. Daily rebalancing is not required for this to work, since XXV is not a daily inverse VXX, but rather simple short VXX.

What is the reason for XXV relative under-performance? Bid-ask and financing charges seem to have only a minute effect on profitability, certainly not the ~20% difference in less that half of a year. What is more puzzling is that volatility of XXV is about half of that of VXX. I thought that perhaps XXV is under-leveraged compared with VXX, possibly because of higher margin requirements on short futures, however I could not find it in the prospectus. Ideas, explanations, criticism? Good luck traders, and watch your deltas!