I have now backtested Barclays’ XVZ ETN back to when VIX volatility futures first started to trade in March 2004. I have made two versions of the spreadsheet available for purchase below. One with results data only and the other version with formulas and required indexes included. I have included the simulated daily closing values with and without the 0.95% annual fee from March 29, 2004 until February 29th, 2012. The results of the simulated values compared to actual values are shown in the chart below. My results match the published SPDVIXTR underlying index within 0.001%.
XVZ looks like a very good way to hedge your portfolios for market corrections / crashes. For details on how to do this see:
For a detailed analysis of the inner workings of XVZ see Under the Hood of Barclays’ XVZ
For more information on the spreadsheet see this readme.
My thanks to Omar Qureshi for finding the defect in my spreadsheet that had blocked me for days.
If you purchase the spreadsheet you will be eventually be directed to paypal where you can pay via your paypal account or a credit card. When you successfully complete the paypal portion you will be shown a “Return to Six Figure Investing” link. Click on this link to reach the page where can download the spreadsheet. Please email me at email@example.com if you have a problem, question, or request.
If you don’t see the purchase information below click on this link.
- XVZ backtest-1
- XVZ backtest Mar-04 through Feb-12
- Product Options
# Option Price Download File Size 1 XLSX format $50.00 XVZ backtest Mar-04 through Feb-12 282.40KB 2 XLS format $50.00 XVZ backtest Mar-04 through Feb-12 xls 615KB 3 XLSX Format $150.00 XVZ backtest Mar-04 to Feb-12 including formulas and required indexes 1003.99KB
- Shipping Rate: F
Your credit card statement will show the following description on this transaction: "PAYPAL*VH2SOLUTION". After you have paid look for a "Return to Six Figure Investing" link. This will take you to a page where you can download the product.
Friday, April 6th, 2012 | Vance Harwood