I have backtested Barclays’ VQT 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 July 5th, 2012. The results of the simulated values compared to actual values are shown in the chart below. My results match samples from the published SPVQDTR underlying index within 0.35%.
VQT looks like a very good way to have exposure to the general market and profit from major market panics. For details on VQT see:
- A Covered Call Position That’s Long Volatility
- For a detailed analysis of the inner workings of XVZ see Under the Hood of Barclays” VQT
- VQT prospectus
For more information on the spreadsheets I have for sale see this readme.
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 problems, questions, or requests.
- VQT Backtest-1
- VQT Backtest Since Mar-2004
- Product Options
# Option Price Download File Size 1 XLS format, data only $50.00 VQT Backtest Mar-04 through Jul-12 Data Only 1.74MB 2 XLS format $150.00 VQT Backtest Mar-04 thru Jul-12 xls Full Data, Indexes & Formulas 1.58MB 3 XLSX Format $150.00 VQT Backtest Mar-04 thru Jul-12 xlsx Full Data, Indexes & Formulas 2.34MB
- 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.
- Under the Hood of VQT—Looking Forward to a Crash
- A Covered Call That’s Long Volatility
- The Volatility Landscape
Saturday, December 1st, 2012 | Vance Harwood