Barclays’ XVZ ETN Backtest—Values and Formulas

Description

XVZ is an Exchange Traded Note (ETN) offered by Barclays that changes its volatility posture depending on market conditions.   XVZ started trading in August 2011 so there is no market price data available before that (e.g., during the 2008/2009 market crash).  This simulation shows XVZ’s simulated end-of-day closing price (values and formulas) from March 2004 through January 2014.  Barclays‘ provides an IV spreadsheet from inception that can be used to document the end-of-day closing values from that point on.

For more information on this product see:

1. XVZ Backtest
2. How Does XVZ Work?
3. XVZ–the Long Volatility Fund That Won’t Go to Zero

I also offer a lower cost version of this product that only provides values.  For more information see:  VXZ Backtest–Values Only