Historical Backtest on VQT


Updated: Mar 10th, 2017 | Vance Harwood | @6_Figure_Invest

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 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%.

Simulated VQT vs Actuals


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:

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 protected] if you have problems, questions, or requests.

 

Sku
VQT Backtest-1
Description
VQT Backtest Since Mar-2004
Product Options
#OptionPriceDownloadFile Size
1XLSX format, data only$50.00SFI_VQT_Backtest-rev_B_data_only.xlsx 1.17MB
2XLSX format$150.00SFI_VQT_Backtest-rev_B_full_spreadsheet.xlsx 2.15MB
Shipping
Shipping Rate: F
Order VQT Backtest Since Mar-2004

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.

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Friday, March 10th, 2017 | Vance Harwood
  • Andrew_notPorC

    I wonder if VQT was optimized for the 2008 downturn/VIX explosion. We won’t really know until a major out-of-sample VIX spike and market correction occurs.

  • vance3h

    Hi Andrew, I expect it was. But it did handle the 2nd half 2011 troubles nicely. I like the way it tracks 20 day vs 5 day volatility. Feels like a more general and robust approach compared to XVZ’s hard coded VIX/VXV ratios triggers.
    — Vance

  • hendra

    hi Vance,
    do you notice what happened to XVZ today?
    about an hour after market open, it doesn’t move anymore and locked at 57.25
    do you have any idea about this?
     

  • Charles

    HI Vance,
    I am curious to see what maximum drawdown your backtest gives for the VQT since 2004 ?
    Charles

  • vance3h

    Hi Hendra, I looked at the charts and didn’t see anything unusual. XVZ is lightly traded, so it can be a long time between trades. I’m expecting XVZ to bottom soon and start back up.

    — Vance

  • vance3h

    Hi Charles, The top 3 drawdowns were 18% on 15-Sept-08, 13% on 27-Feb-09, and 11% on 24-Aug-10.

    – Vance

  • hendra

    yes Vance, you’re correct
    it’s because XVZ’s volume
    thanks for your respond
    keep posting useful articles as usual!!

  • Deliamontesq

    Really, very good information. By the way where can I get VQT Historical Prices from 2004 in excel format o similar in order to backtest my portfolio. Many thanks for your help

  • vance3h

    Hi, I offer the VQT simulation data from March 2004 on for sale, but I have not put the info for sale yet on my website. For the data only (dates & prices) I charge $40. If you want the full spreadsheet with all formulas and indexes required to compute VQT’s value I charge $200. If you are interested in either send me an email at [email protected] letting me know which one you would like to buy. I’ll email the spreadsheet and you can pay me via paypal. Please let me know if you have any questions.
    Best Regards, Vance

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