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XVIX performance

Tuesday, October 25, 2016 6:24
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(Before It's News)

In a reaction to my previous post about the VXX-VXZ combo, a kind reader has pointed me to the newly launched  UBS XVIX  etn.  From the first look it does not seem to be that liquid, so its ability to track the VXZ-0.5VXX is somewhat questionalble. 
I've decided to take a quick look at the fist month of its existance to check if it is really performing as advertised.

B4INREMOTE-aHR0cDovLzIuYnAuYmxvZ3Nwb3QuY29tL19qNnV0clZjckw5ay9UVEcxT21GeU9oSS9BQUFBQUFBQURDZy81M3Znc2M2RWpFby9zMzIwL3h2aXgucG5n



In the graph I've plotte the cumulative change in VIX (index), VXZ, VXX, XVIX and a synthetic VXZ-0.5VXX pair.  It seems that XVIX performing exactly as promised, providing performance very close to the underlying pair, without the cost of rebalancing. 


The following plot shows cumulative tracking error:

B4INREMOTE-aHR0cDovLzMuYnAuYmxvZ3Nwb3QuY29tL19qNnV0clZjckw5ay9UVEc1ekFRME05SS9BQUFBQUFBQURDay9McVNvcnltOENLUS9zMzIwL3h2aXhfZXJyb3IucG5n

An interesting observation is that it does have some occasional tracking errors, of about ~0.3%, providing some arbitrage opportunities.

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