VQTS: A Large Cap Investment That Protects Itself

Update In August 2016 UBS terminated VQTS.  UBS wasn’t particularly patient with the fund, it had only been operational since December 4th, 2014, but it never gained much in the way of assets.  As you can see below VQTS was a complex fund driven by factors that historically seemed to be good predictors of future market action, but like most funds that use backtested strategies …

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How Does PHDG Work?

An ideal volatility investment would hold its value during quiet times and then ride volatility up as the market panics.  Barclays’ VQT and Invesco’s PHDG are two Exchange Traded Products (ETPs) that are designed to fill this need. These two products use the same methodology but differ in that VQT does not distribute dividends, effectively automatically reinvesting dividends, while PHDG distributes any dividends quarterly.  The …

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Historical Backtest on VQT

I have backtested Barclays’ VQT ETN back to when VIX volatility futures first started to trade in March 2004.  I have made two versions of the spreadsheet available for purchase below.  One with results data only and the other version with formulas and required indexes included.  I have included the simulated daily closing values including the 0.95% annual fee from March 29, 2004, until June …

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A Covered Call That’s Long Volatility

Covered calls are an example of  positions that are short volatility.  I hadn’t thought of it that way until Sheldon Natenburg, the author of Option Volatility & Pricing  pointed that out in a fascinating interview in Expiring Monthly. A covered call position is profitable if the underlying equity stays the same or goes up, but in a big market downswing, when volatility spikes up,  the modest …

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The Volatility Landscape

News CBOE The CBOE plans to extend VIX® Futures trading by over 5 hours—aligning with the London Stock Exchange open, and adding a 45 minute post settlement trading period 4:30 ET to 5:15 ET Monday through Thursday. Two new volatility indexes, DLVIX and DSVIX are documented on the CBOE website.   These indexes were developed in cooperation with the French bank Société Générale and are now …

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