Backtesting the short term volatility spectrum
Update: UBS terminated all of their ETNs except for XVIX on September 12, 2012. They never gathered enough assets to be viable. Until recently if you wanted to be long or short on volatility Exchange Traded Products (ETP) your only choices were based on short term 1-2 month rolling volatility futures (e.g., VXX, TVIX, or XIV), CVOL‘s mix of the 3-4 month rolling index …