Barclays’ VQT Volatility Hedged S&P 500 ETN Backtest—Formulas & Values


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VQT is an Exchange Traded Note (ETN) offered by Barclays that combines a position in the S&P 500 with a long volatility position (essentially VXXB).  The mix of these two components is variable, ranging from a small (2.5%) position in volatility up to a 40% share depending on market conditions.  VQT started trading in September 2010 so there is no market price data available before that (e.g., during the 2008/2009 market crash).  This simulation shows VQT’s simulated end-of-day closing price (values and formulas) from March 2004 through June 2014.  Barclays’ reported VQT IV values from inception through January 2017 are also included.

For more information on this product see:

  1. VQT Backtest
  2. How Does VQT Work?

I also offer a less expensive version of this product that includes all required formulas.  For more information see:  VQT Backtest–Values Only

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