VXZ Backtest

Description

VXZ is a long volatility fund offered by Barclays that is based on medium-term VIX futures (4th through the 7th month).   The original VXZ matured in January 2018 and was replaced by a virtually identical product, VXZB but then Barclays then renamed VXZB back to VXZ.  Since VXZ and VXZB had identical indicative values the simulation just shows continuous pricing for VXZ.

VXZ started trading in January 2009 so there is no market price data available before that (e.g., during the 2008/2009 market crash).  This simulation shows VXZ/VXZB’s simulated end-of-day closing price from March 2004 through the most recent quarter.  See this table for specific dates.

For more information on this product see: End-Of-Day Simulations for Popular Volatility Exchange Traded Products

I also offer a VXZ simulation that provides open/high/low prices in addition to end-of-day prices from March 2004 through the most recent quarter.  See this table for specific dates.

For more on that product see:  Open / High / Low /  Close Simulations for Popular Volatility Exchange Traded Products