Sometimes Inverse / Leveraged Volatility Funds Outperform Their Leverage Factors

From August 2nd  to October 3rd, 2011 Barclays’ S&P 500 VIX Short Term Futures ETN (VXX) had a great 137% runup.  In that same period VelocityShares’ TVIX  ETN, 2X leveraged on the same index went up an astonishing 348%,  73 percent more than its 2X leverage factor would project.   How is that possible?  Don’t inverse and leveraged funds always underperform the index they’re tracking? Normal …

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XIV during the 2008 Crash

XIV has only existed since November 2010, so we are dependent on simulations for guesses on its performance before that.   The index that XIV is based on goes back into the 2005 time frame, so I have the data I need to backtest XIV for the 2008 crash.    My simulations show a close  match to actual XIV values (see this post) so I have …

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Inverse Volatility—the Winner for Short Term is SVXY

I used to share stock tips with my brothers-in-law. Before the tech crash I could offer up a few stocks I liked, and they would often make some money.  The crash painfully ended the easy money and I moved onto index funds. They didn’t think indexes were near as much fun. One Easter one of my brothers-in-law asked what I was investing in.   My …

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