Barclays’ XVZ ETN Backtest—Values only




XVZ is an Exchange Traded Note (ETN) offered by Barclays that changes its volatility posture depending on market conditions.   XVZ started trading in August 2011 so there is no market price data available before that (e.g., during the 2008/2009 market crash).  This simulation shows XVZ’s simulated end-of-day closing price (values only, no formulas) from March 2004 through January 2014.  Barclays‘ provides an IV spreadsheet from inception that can be used to document the end-of-day closing values from that point on.

For more information on this product see:

  1. VXZ Backtest
  2. How Does VXZ Work?
  3. VXZ–the Long Volatility Fund That Won’t Go to Zero

I also offer a version of this product that includes all required formulas.  For more information see:  VXZ Backtest–Formulas & Data

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