How Does VelocityShares’ ZIV Work?

Just about anyone who’s looked at a multi-year chart for a long volatility fund like Barclays’ VXX has thought about taking the short side side of that trade. VelocityShares’ ZIV is an Exchange Traded Product (ETP) that allows you to hold a short volatility position while avoiding some of the issues associated with a direct short position in VXX.  Because ZIV is tied to VIX …

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Backtesting VelocityShares’ ZIV inverse volatility ETN back to 2004

All of the volatility based ETN/ETF products are relatively new.  Barclays’ VXX and VXZ oldsters started in January 2009—just a few months before the end of the 2008/2009 crash.  This lack of historical data over full market cycles makes it hard to assess the risks associated with new products—such as VelocityShares’ ZIV (medium-term inverse volatility)  which started in November 2010. test I have backtested ZIV starting from …

Read moreBacktesting VelocityShares’ ZIV inverse volatility ETN back to 2004