all

How Does ProShares’ SVXY Work?

by

Just about anyone who’s looked at a multi-year chart for a long volatility fund like Barclays’ VXX has thought about taking the other side of the trade. ProShares’ SVXY is an Exchange Traded Fund (ETF) that allows you to bet against funds like VXX while avoiding some of the issues associated with a direct short. This post will discuss SVXY‘s inner workings, including how it …

Read more

Backtests for VelocityShares’ BSWN, LSVX, and XIVH Exchange Traded Notes

by

I have generated simulated end-of-day close indicative share values (4:15 PM ET) for VelocityShares’ BSWN, LSVX, and XIVH Exchange Traded Notes (ETNs) from March 31st, 2004 through July 14th, 2016.

  • BSWN VelocityShares VIX Tail Risk ETN
  • LSVX  VelocityShares VIX Variable Long/Short ETN
  • XIVH    VelocityShares VIX Short Volatility Hedged ETN

Read more

How Do VelocityShares’ BSWN, LSVX, & XIVH Work?

by

Update:   In June 0f 2018 UBS delisted these funds.  The funds performed pretty much as expected but never gained enough assets to be profitable for UBS. The indexes that power VelocityShares new BSWN, LSVX, and XIVH funds have been live since 2011, but they haven’t been directly accessible via exchange traded products until July 2016.  The goals of these new funds are pretty straightforward, on the …

Read more

High Sigma Events—They’re Not All Black Swans

by

After every crash or major geopolitical event that roils the market we are exposed to graphics like this one containing sigma numbers: The message associated with these charts is usually, “We should be very worried because the events that just occurred were really unlikely.” The reader, on the other hand, should be thinking: the person that wrote this really doesn’t understand statistics or Black Swans. …

Read more