Barclays’ VQT Volatility Hedged S&P 500 ETN Backtest—Formulas & Values
VQT is an Exchange Traded Note (ETN) offered by Barclays that combines a position in the S&P 500 with a long volatility position (essentially VXXB). The mix of these two components is variable, ranging from a small (2.5%) position in volatility up to a 40% share depending on market conditions. VQT started trading in September 2010 so there is no market price data available before that (e.g., during the 2008/2009 market crash). This simulation shows VQT’s simulated end-of-day closing price (values and formulas) from March 2004 through June 2014. Barclays’ reported VQT IV values from inception through January 2017 are also included.
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I also offer a less expensive version of this product that includes all required formulas. For more information see: VQT Backtest–Values Only