One thing I've noticed with this is it doesn't seem to track with the market real well... It seems to play with it's own drummer...
I found this, I think it's the same for TVIX:
It's more than mistiming the trend, they reset every roll date. That's the whole point, UVXY doesn't following the markets it follows the VIX futures. I agree on the years of practice, but contango and backwardation only take a few minutes to research and understand. That's what you really need to know before you trade VIX products.
http://www.etftrends.com/2012/03/vix-etfs-beware-contango/It tracks VIX futures. The index is selling each day around 5 % of his front month futures and is buying second month futures .
Second month futures are more expensive than the front month = contango and the index is losing that difference
Second month futures are less expensive than the front month = backwardation and the index is gaining that difference .
Contango and backwardation explain the differences between VIX and VXX or UVXY .
The index has 100 % front month futures only on the expiration day which is the third Wednesday of the month ( each month )
Each cycle has around 20 business days = selling and buying around 5 % each day . Sometimes 21 or 19 days , depend on the month.
If you are holding on the roll date while in contango you'll learn what contango means pretty quick.
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