How Does VelocityShares’ ZIV Work?

Update Effective July 2nd ZIV stopped trading on national exchanges (press release). The issuer, Credit Suisse (CS) halted share creations effective July 3rd but is not terminating the fund. They reserve the right to do so but don’t have to until 2030. ZIV is currently trading on OTC exchanges, e.g., OTCMarkets.com and is currently trading pretty close to its IV price, the theoretic value of …

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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