[EDIT: Updated info on VOLT here]
One of the readers emailed me: "a few weeks ago Source launched VOLT, an ETF based on vol of vol, which looks quite interesting to me. I just wanted to point you to it, since you published a post about the XVIX, which I found quite informative. Maybe you would like to comment."
The fund is developed by Nomura and launched as Source ETF. The problem is - there's just not much info on the ETF that I can find, particularly no technical details whatsoever. Here is the official website for the ETF, and factsheet .The fund is based on NMEDVMU3 index, for which there is no information. From the two sources above I would like to quote the following:
"The Reference Index adjusts its exposure to the S&P 500 VIX Mid-Term Futures Index between 0% and 100% on a daily basis by reference to the previous 30-day volatility of the S&P 500 VIX Mid-Term Futures Index. This adjustment process aims to reduce the roll costs associated with holding a constant long volatility position (i.e. being 100% exposed to the S&P 500 VIX Mid-Term Futures Index at all times) while still seeking to capture the major spikes in volatility by adjusting its allocation to the S&P 500 VIX Mid-Term Futures Index on a daily basis based on the previous 30-day volatility of the S&P 500 VIX Mid-Term Futures Index."
Overall this does not say much. I tried to reverse-engineer the ETF in the following way:
1 Calculate 30-day historical volatility of SPVXMTR index
2 Create robust score for volatility based on median absolute deviation from the median, using all historical data
3 Allocate min(max(score+2,0)/9,1) % to SPVXMTR index.
As you can see below my version of VOLT does not look exactly like the official version.
So at this point there is not much more that I can add; if you have any info on the ETF please forward it to me. Also note that the fund is not available in the US but is available to European investors.