Taking XVIX back 5 years


Updated: Dec 1st, 2012 | Vance Harwood | @6_Figure_Invest

There is an interesting post in Volatility Futures and Options that projects XVIX performance back 5 years. It addresses a couple of things more analytically than I did in my recent post. Specifically how did UBS pick the 0.5 short factor it uses with short term volatility, and how stable has that factor been over time.

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Saturday, December 1st, 2012 | Vance Harwood