Avoid XVIX—It’s Going Nowhere

In December 2010 UBS came out with XVIX—an ETN that holds a long position in medium term volatility (equivalent to VXZ), and short a 50% position in short term volatility (equivalent to VXX).  See Volatilty Tickers for the full set of available ETNs.   XVIX’s strategy was to take advantage of the historical situation (2004 to 2009) where short term futures were hugely eroded by contango and mid term …

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Taking XVIX back 5 years

There is an interesting post in Volatility Futures and Options that projects XVIX performance back 5 years. It addresses a couple of things more analytically than I did in my recent post. Specifically how did UBS pick the 0.5 short factor it uses with short term volatility, and how stable has that factor been over time. .