Exchange Traded Funds (ETFs) look a lot like stocks because they trade during the day, can be sold short, and have options and they look a lot like mutual funds because they aren’t tied to a single company. The items are important things to know. There’s more to ETF cost than the annual fee If you aren’t planning to just buy and hold your ETF investment …
Using the Cboe’s VIX futures historic data and interpolations/extrapolations for contracts that were not traded I developed a continuous time series for 7 months of VIX futures settlement values. I then used that data, plus treasury bill data to compute the indexes that underly the popular long and short volatility Exchange Traded Products (ETPs) in the USA. This product includes two spreadsheets, one that …
From August 2nd to October 3rd, 2011 Barclays’ S&P 500 VIX Short Term Futures ETN (VXX) had a great 137% runup. In that same period ProShares’ UVXY, 2X leveraged Exchange Traded Fund (ETF) went up an astonishing 348%, 73 percent more than its 2X leverage factor would project. How is that possible? Don’t inverse and leveraged funds always underperform the index they’re tracking? Normal market …
In their fifteen year history, which includes the 2008/2009 financial meltdown, a grand total of three Exchange Traded Notes (ETNs) have gone bust due to credit default—all 3 were issued by Lehmann Brothers. The total loss to investors was less than $15 million. This article on ETF.com gives the detailed story. How many public companies have gone bankrupt, rendering their stock worthless, in the last …
An ideal volatility investment would hold its value during quiet times and then ride volatility up as the market panics. Barclays’ VQT and Invesco’s PHDG are two Exchange Traded Products (ETPs) that are designed to fill this need. These two products use the same methodology but differ in that VQT does not distribute dividends, effectively automatically reinvesting dividends, while PHDG distributes any dividends quarterly. The …
