Backtests for Popular Long & Short Volatility Exchange Traded Products


Updated: Mar 7th, 2018 | Vance Harwood | @6_Figure_Invest

I have generated the end of day trading day values for the most  popular long and short volatility Exchange Traded Products (ETPs) for March 26th, 2004 through March 6th, 2018

These ETP histories are required if you want to backtest various volatility strategies through the quiet times from 2004 to 2007, or the 2008/2009 crash.  The chart below shows the simulated values with a logarithmic vertical axis so that you can see a reasonable amount of information for each fund.

Pop-Vol-ETPs

The table below shows how much $1000 invested in each of these funds on March 26th, 2004 would have been worth on March 7th, 2017:
 
Symbol $ Value
TVIX $0.00000019
UVXY $0.00000020
VXX $0.17
VXZ $87.09
ZIV $2523
XIV $35853

 

The algorithms for generating these ETPs values are documented in the prospectuses for the various volatility ETNs and ETFs.    Barclays’ VXX/VXZ fund prospectus is a good example.   See Volatility tickers for the current universe of  USA based volatility ETPs and their associated reference indexes.    The futures settlement data required for these calculations is available on this CBOE website—in the form of 100+ separate spreadsheets.  To make the calculation of the indexes underlying the ETPs tractable  I created a master spreadsheet that integrates the futures settlement data into a single sheet.  See this post for more information about that spreadsheet.

With the exception of TVIX—which has had severe tracking problems since early 2012 my simulated values very closely track the published indicative values (IV) of the funds.  Barclays provides a full set of IV values for VXX and VXZ—my simulation tracks them within +-0.04% and +-0.025% respectively.   Sampled IV values for the other funds give error terms of  +-0.2% for Proshares UVXY,  and for VelocityShares XIV and ZIV +-0.2% and +- 0.01% respectively.   My TVIX simulation tracks sampled IV values within +2%/-4%.

If you need simulated intraday open, high, low values also check out this post.

These ETP prices reflect the contribution of 91 day treasury bills on their overall performance.   Thirteen-week Treasuries yields averaged 0.05% in 2013,  but in February 2007 they yielded over 5%— things have changed a bit…   The simulated ETP values do include applicable fees which vary from fund to fund.   The fee calculation is surprisingly difficult.  For more on that see Backtest on VXX Including Annual Fees

I am making these 10 simulation spreadsheets (values only, no formulas) available for purchase, individually, or as a complete package. The VXX package is also available here.   If you cannot see purchase information immediately below then please click this link to the stand-alone post and look at the bottom of the page.

For more information on the spreadsheets see readme.

If you purchase the spreadsheet you will be directed to paypal within a few minutes 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.  It’s easy to miss the “Return to Six Figure Investing” link.  If you don’t get it / can’t find it please email me.

Sku
SFI-ETP-123
Description
ETP simulation Downloads
Product Options
#OptionPriceDownloadFile Size
1VXX, 1.5X UVXY, TVIX, XIV,ZIV,VXZ, -0.5X SVXY, VIXY, 2X UVXY, -1X SVXY Simulations$99.00SFI ETP Backtest All -6Mar2018 4.58MB
2VXX Simulation$29.00SFI ETP OHLC backtest VXX 7Mar17 2.19MB
3+1.5X UVXY Simulation$29.00SFI ETP Backtest +1.5X UVXY -6Mar2018 2.33MB
4TVIX Simulation$29.00SFI ETP backtest TVIX 6Oct17 1.85MB
5-0.5 SVXY Simulation$29.00SFI ETP Backtest -0.5X SVXY-6Mar2018 2.33MB
6ZIV Simulation$29.00SFI ETP backtest ZIV 6Oct17 1.86MB
7VXZ Simulation$19.00SFI ETP backtest VXZ 6Oct17 1.72MB
8-1X SVXY not trading$29.00SFI ETP Backtest -1X SVXY Final 2.45MB
9VIXY Simulation$19.00SFI ETP backtest VIXY 6Oct17 1.79MB
10+2X UVXY not trading$29.00SFI ETP Backtest 2X UVXY Final 2.47MB
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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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Wednesday, March 7th, 2018 | Vance Harwood