When they were introduced by REX ETF in May 2016 VMIN and VMAX were the first actively managed volatility Exchange Traded Funds (ETFs). REX’s strategy was to offer higher effective leverage than the popular unleveraged long VXX and the daily resetting inverse volatility funds (XIV & SVXY). In 2017 REX ETF’s strategy paid off with VMIN delivering an eye-popping 190.6 percentage gain, bettering XIV & …
Some volatility trading systems use intra-day open, high, low (OHL) prices as part of their algorithms for determining when to trade. UVXY and SVXY didn’t start trading until late 2011—just after the 2011 correction and well past the 2008/2009 bear market so there’s no actual trade data from those important downturns. To fill that deficiency I did some simulations a few years ago using the …
Update As of February 28th, 2018 SVXY will target -0.5 leverage instead of -1X. This change was in response to the events of February 5th, 2018 when a massive VIX futures spike occurred in the last 30 minutes of trading, probably in part due to the rebalancing required by the 2X UVXY and -1X SVXY funds. This change to SVXY will reduce its rebalancing requirements …
Models are useful. They help us understand the world around us and aid us in predicting what will happen next. But it’s important to remember that models don’t necessarily reflect the underlying reality of the thing we’re modeling. The Ptolemaic model of the solar system assumed the Earth was the center of everything but in spite of that spectacular error, it did a good job of …
