Although VIX spot is generally mean reverting, the S&P 500 VIX Futures indices are return generating time series that trend down for the majority of their history. This downward trend is particularly obvious in the Short Term index.
This is because the price received from the sale of the shorter term contract is generally less than that paid for the longer term, as expected VIX is generally greater than current VIX. Additionally the spread between the shorter term futures and the longer term futures is generally bigger on the front month contracts.
This feature is not unique to VIX futures. Commodity markets often experience these conditions, a phenomenon known as contango.
Roll cost is inevitable when the market is in contango since one futures contract has to be rolled into a longer term one prior to its expiration. The continuous daily roll of the two futures indices only spread the cost throughout the month. It does not necessarily change the magnitude of the cost.
In the S&P 500 VIX Short-Term Futures Index, contango occurred 77% of the days since inception. On average, 0.18% of the portfolio value was lost daily by rolling from the first month futures to the second month futures.
In the S&P 500 VIX Mid-Term Futures Index, contango occurred 64% of the days since inception. On average, 0.07% of the portfolio value was lost daily by rolling from the fourth month futures to the seventh month futures.
ETPs that track these two indices are trading vehicles, not buy-and-hold products.