Strategy
This strategy is almost identical to my previous post, except with the difference being we will actually use the VIX Futures’ Term Structure this time to know exactly what the contango between the Front and Second month contracts are. Essentially, we will take the settlement prices of the previous day’s First and Second month VIX Futures contracts and calculate the ratio F1/F2 to determine whether it is less than 0.95 (coincidentally). If it is, then we will short VXX, otherwise we will move to cash. A noteworthy observation is that by using the actual VIX Futures’ prices, we improve performance for this strategy.
Backtest Summary| Performance Measure | Value |
|---|
| Annual Return | 0.4 | | Annual Volatility | 0.31 | | Sharp Ratio | 1.23 | | Max Drawdown | -0.28 | | Alpha | 0.27 | | Beta | 0.82 | /* Here you can add custom CSS for the current table */ /* Lean more about CSS: https://en.wikipedia.org/wiki/Cascading_Style_Sheets */ /* To prevent the use of styles to other tables use "#supsystic-table-1" as a base selector for example: #supsystic-table-1 { ... } #supsystic-table-1 tbody { ... } #supsystic-table-1 tbody tr { ... } */ |
Worst Drawdown Periods| Rank | Drawdown in % | Peak Date | Valley Date | Recovery Date | Duration |
|---|
| 1 | -0.2739 | 07-02-2014 | 12-09-2014 | 2015-05-19 | 229 | | 2 | -0.2584 | 06-22-2015 | 03-07-2016 | 2016-05-10 | 231 | | 3 | -0.2571 | 01-22-2013 | 06-13-2013 | 2014-06-06 | 358 | | 4 | -0.2019 | 03-25-2012 | 05-30-2012 | 2012-06-20 | 63 | | 5 | -0.1489 | 06-05-2016 | 06-26-2016 | 2016-07-18 | 31 | /* Here you can add custom CSS for the current table */ /* Lean more about CSS: https://en.wikipedia.org/wiki/Cascading_Style_Sheets */ /* To prevent the use of styles to other tables use "#supsystic-table-1" as a base selector for example: #supsystic-table-1 { ... } #supsystic-table-1 tbody { ... } #supsystic-table-1 tbody tr { ... } */ |
Stress Events| Stress Events | Mean | Min | Max |
|---|
| US downgrade/European Debt Crisis | 0 | 0 | 0 |
| Fukushima | 0.004 | -0.016 | 0.024 |
| EZB IR Event | 0.001 | -0.019 | 0.025 |
| 2009Q1 | 0 | 0 | 0 |
| 2009Q2 | -0.001 | -0.06 | 0.016 |
| Flash Crash | -0.039 | -0.086 | 0 |
| April 2014 | -0.003 | -0.054 | 0.022 |
| October 2014 | -0.001 | -0.008 | 0 |
| Fall 2015 | -0.002 | -0.044 | 0.012 |
| GFC Crash | 0 | 0 | 0 |
| Recovery | 0.002 | -0.108 | 0.086 |
| New Normal | 0.001 | -0.176 | 0.066 |
/* Here you can add custom CSS for the current table */ /* Lean more about CSS: https://en.wikipedia.org/wiki/Cascading_Style_Sheets */ /* To prevent the use of styles to other tables use "#supsystic-table-1" as a base selector for example: #supsystic-table-1 { ... } #supsystic-table-1 tbody { ... } #supsystic-table-1 tbody tr { ... } */
