Backtests for Popular Long & Short Volatility Exchange Traded Products

Updated: Dec 10th, 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 November 1st, 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 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 recent 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.

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 +-0.05% and +-0.025% respectively.   Sampled IV values for the other funds give error terms of  +-0.2% for Proshares UVXY,  and for VelocityShares  ZIV +- 0.01% respectively.

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 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 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.

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First posted: Monday, September 16th, 2013 | Vance Harwood