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 including the 0.95% annual fee from March 29, 2004, until June 30th, 2014. I have included the reported IV values from Barclays through January 2017. 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 is a 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 directed to paypal where you can pay via your paypal account or a credit card. Please email me at [email protected] if you have problems, questions, or requests.