Backtesting of VZZB—Barclays’ replacement for VZZ
Originally posted July 18, 2011 Update: VZZB terminated in October 2012, consistent with the 1.5 years or less of life that I predicted below. Barclays didn’t waste any time replacing its recently terminated VZZ ETN. The new fund, targeted at leveraged long performance relative to medium term volatility appears essentially identical to VZZ except for its new inception point (8-Jul-2011). Rather than follow daily percentage moves, Barclay’s …
