I have generated simulated end-of-day close indicative share values (4:15 PM ET) for VelocityShares’ BSWN, LSVX, and XIVH Exchange Traded Notes (ETNs) from March 31st, 2004 through July 14th, 2016.
How Do VelocityShares’ BSWN, LSVX, & XIVH Work?
Update: In June 0f 2018 UBS delisted these funds. The funds performed pretty much as expected but never gained enough assets to be profitable for UBS. The indexes that power VelocityShares new BSWN, LSVX, and XIVH funds have been live since 2011, but they haven’t been directly accessible via exchange traded products until July 2016. The goals of these new funds are pretty straightforward, on the …
High Sigma Events—They’re Not All Black Swans
After every crash or major geopolitical event that roils the market we are exposed to graphics like this one containing sigma numbers: The message associated with these charts is usually, “We should be very worried because the events that just occurred were really unlikely.” The reader, on the other hand, should be thinking: the person that wrote this really doesn’t understand statistics or Black Swans. …
Monthly and Yearly Decay Rates for Long Volatility Funds
While it’s certain that short-term volatility exchange traded products (ETPs) like VXX, TVIX, and UVXY are doomed to a contango driven march towards zero, their decay rates are not consistent. Things like bear markets and big corrections can cause big upward swings.
Modified Ned Davis Method—Breadth Divergence April 2016, by Frank Roellinger
Over the years I have developed a lot of respect for the condition of breadth divergence, when an index such as the S&P 500 is rising and the NYSE daily cumulative advance-decline line is not. In January 2016 I listed the performance of my method on the short side as a function of the number of consecutive weeks of divergence at the time of the …
