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windwine
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A researcher in a financial institution.
  • A Simple Toy Momentum Strategy For Volatility Trading (Up To 04/10/2014) 1 comment
    Apr 15, 2014 10:18 AM | about stocks: XIV, ZIV, XVZ, SPY, SSO

    A simple toy momentum strategy for volatility trading (up to 04/10/2014)

    There have been various SA posts talking about momentum strategy using XIV, TLT, ZIV and so on. Following Fred Piard's idea of using weekly data here I have ditched the bond ETFs and added long volatility ETFs of VXX, VXZ and XVZ. Instead of 100% invested in the ETF, I try to maintain a CAPM beta of 2 for the short volatility (long stock market) side. With the theoretical historical data of XIV and ZIV since 12/20/2005 the long ETF choices would be 100% XIV, 200% ZIV and 200% SPY (or 100% SSO). On the long volatility side I am playing it more safely and I would only use 100% XVZ (a mild dynamic long vol product).

    The strategy is straight forward. We pick up the best performance ETF in the past week at Friday close and hold that ETF for the next week. The portfolio growth is shown below:

    (click to enlarge)

    And the annual returns are:

    yearly.returns (*100%)

    2005-12-30 0.02782989

    2006-12-29 0.88023040

    2007-12-28 0.10754270

    2008-12-26 0.25491206

    2009-12-31 0.92635935

    2010-12-31 0.11592670

    2011-12-30 0.59102562

    2012-12-28 1.19134108

    2013-12-27 0.44805142

    2014-04-10 -0.13816872

    There are two massive drawdowns around mid-2008 and around the flash crash in 2010. With some daily stoploss settings it is possible to reduce the big losses.

    It is just a toy model to show how to incorporate long vol products into the momentum strategy and it might be better to adjust the leverage for each ETF candidate to account for its beta or volatility.

    The detailed table is shown below if you are interested. The first 4 columns are the weekly returns for the ETFs; the fifth column indicates the holding for the next week and the last column is the growth of your portoflio.

     

    XIV

    2*ZIV

    XVZ

    2*SPX

    Ind

    port

    12/20/2005

    0

    0

    0

    0

    1

    1

    12/23/2005

    0.042164

    0.035641

    7.00E-05

    0.014354

    1

    1.042163931

    12/30/2005

    -0.01375

    -0.01024

    -0.00054

    -0.03211

    3

    1.027829888

    1/6/2006

    0.058368

    0.039762

    0.003352

    0.059537

    4

    1.031274737

    1/13/2006

    0.039013

    0.01061

    0.007877

    0.003361

    1

    1.034740533

    1/20/2006

    -0.04476

    -0.02653

    0

    -0.04057

    3

    0.988426116

    1/27/2006

    0.060852

    0.091659

    -0.02385

    0.035244

    2

    0.964849321

    2/3/2006

    0.001477

    -0.0064

    0.002828

    -0.03068

    3

    0.958673876

    2/10/2006

    0.028624

    0.004525

    0.003871

    0.004683

    1

    0.962384709

    2/17/2006

    0.020062

    0.034236

    -0.00968

    0.031966

    2

    0.981692005

    2/24/2006

    0.044908

    0.062096

    -0.01567

    0.003403

    2

    1.042651459

    3/3/2006

    -0.00037

    0.026869

    -0.01073

    -0.00341

    2

    1.070666202

    3/10/2006

    -0.00739

    0.032759

    -0.01441

    -0.00878

    2

    1.105740264

    3/17/2006

    0.035567

    0.048307

    -0.01006

    0.04006

    2

    1.159155317

    3/24/2006

    0.009755

    0.024219

    -0.00767

    -0.00658

    2

    1.187228953

    3/31/2006

    0.018682

    0.038727

    -0.01161

    -0.01246

    2

    1.233206681

    4/7/2006

    0.008663

    0.012556

    -0.00325

    0.001035

    2

    1.248690865

    4/13/2006

    -0.02963

    -0.0188

    0.001543

    -0.00985

    3

    1.225209753

    4/21/2006

    0.026851

    0.013858

    -0.0002

    0.03438

    4

    1.224968744

    4/28/2006

    0.032686

    0.010054

    0.002383

    -0.00102

    1

    1.223716946

    5/5/2006

    0.00236

    -0.00521

    0.004569

    0.023119

    4

    1.226604854

    5/12/2006

    -0.06467

    -0.03404

    0.000336

    -0.05208

    3

    1.162728437

    5/19/2006

    -0.11175

    -0.0582

    0.033346

    -0.0375

    3

    1.20150035

    5/26/2006

    -0.01622

    -0.05429

    0.022346

    0.020726

    3

    1.228349238

    6/2/2006

    -0.00957

    -0.06498

    0.035272

    0.012592

    3

    1.271675874

    6/9/2006

    -0.14194

    -0.10655

    0.035827

    -0.05577

    3

    1.317235712

    6/16/2006

    -0.02311

    -0.06408

    0.003285

    -0.00121

    3

    1.321563328

    6/23/2006

    0.062327

    0.121282

    -0.0477

    -0.01125

    2

    1.258529003

    6/30/2006

    0.090166

    0.062993

    -0.00724

    0.041302

    1

    1.3378074

    7/7/2006

    -0.03145

    -0.06754

    0.020641

    -0.00743

    3

    1.295737818

    7/14/2006

    -0.12092

    -0.11182

    0.008628

    -0.04627

    3

    1.306916924

    7/21/2006

    0.016716

    0.089042

    -0.04972

    0.006617

    2

    1.241931963

    7/28/2006

    0.124853

    0.080233

    -0.01246

    0.061695

    1

    1.341575346

    8/4/2006

    -0.01981

    -0.04512

    0.014153

    0.001267

    3

    1.314996351

    8/11/2006

    -0.0055

    -0.032

    0.011812

    -0.01973

    3

    1.330528924

    8/18/2006

    0.124673

    0.005757

    0.022839

    0.056144

    1

    1.360916385

    8/25/2006

    0.024888

    0.013987

    0.001842

    -0.01107

    1

    1.39478691

    9/1/2006

    0.045158

    0.062383

    -0.01319

    0.024585

    2

    1.457773357

    9/8/2006

    -0.0518

    -0.01897

    -0.00927

    -0.01844

    3

    1.430112108

    9/15/2006

    0.055344

    -0.0078

    0.011988

    0.032258

    1

    1.447256527

    9/22/2006

    0.003013

    -0.02522

    0.009867

    -0.00771

    3

    1.451617601

    9/29/2006

    0.058322

    -0.00993

    0.020814

    0.032051

    1

    1.481831952

    10/6/2006

    0.042037

    0.025068

    -0.00103

    0.020556

    1

    1.544124294

    10/13/2006

    0.097876

    0.101228

    -0.00648

    0.02377

    2

    1.695256499

    10/20/2006

    0.039799

    0.094849

    -0.02307

    0.004364

    2

    1.856049282

    10/27/2006

    0.084881

    0.031315

    0.010665

    0.012772

    1

    1.914171044

    11/3/2006

    -0.01766

    0.052636

    -0.02414

    -0.01894

    2

    1.880360798

    11/10/2006

    0.0383

    0.068027

    -0.01907

    0.024335

    2

    2.008276456

    11/17/2006

    0.030393

    0.049803

    -0.01365

    0.029401

    2

    2.108295432

    11/24/2006

    -0.01054

    -0.0589

    0.017213

    -0.00036

    3

    1.984107008

    12/1/2006

    -0.00141

    -0.02484

    0.004598

    -0.00605

    3

    1.993229905

    12/8/2006

    -0.01442

    0.048801

    -0.02145

    0.018801

    2

    1.950471458

    12/15/2006

    0.033091

    -0.04428

    0.022502

    0.024471

    1

    1.864110427

    12/22/2006

    0.004571

    -0.0061

    0.003627

    -0.02289

    1

    1.872630576

    12/29/2006

    0.032001

    -0.01164

    0.013786

    0.010689

    1

    1.932556999

    1/5/2007

    -0.0187

    0.003611

    -0.00685

    -0.01211

    2

    1.896425536

    1/12/2007

    0.11626

    0.088493

    0.003212

    0.029822

    1

    2.064245936

    1/19/2007

    0.029988

    0.050238

    -0.00847

    -0.00032

    2

    2.126147962

    1/26/2007

    -0.01289

    0.039872

    -0.01734

    -0.01163

    2

    2.210921158

    2/2/2007

    0.05126

    0.022198

    0.00121

    0.036859

    1

    2.259998406

    2/9/2007

    0.000753

    -0.01099

    0.003125

    -0.01426

    3

    2.261700956

    2/16/2007

    0.056298

    0.037025

    -0.00427

    0.024311

    1

    2.252047011

    2/23/2007

    -0.00379

    0.021424

    -0.00843

    -0.00598

    2

    2.243508105

    3/2/2007

    -0.25796

    -0.09602

    -0.02541

    -0.08823

    3

    2.028078612

    3/9/2007

    0.070953

    0.081121

    -0.04956

    0.022607

    2

    1.927564468

    3/16/2007

    -0.14516

    -0.08376

    0.009914

    -0.02267

    3

    1.766116914

    3/23/2007

    0.177403

    0.086247

    -0.0159

    0.070889

    1

    1.73803666

    3/30/2007

    -0.0746

    -0.02452

    -0.00527

    -0.02124

    3

    1.608375245

    4/5/2007

    0.047801

    -0.00444

    0.011107

    0.032234

    1

    1.626240129

    4/13/2007

    0.042698

    0.003157

    0.007191

    0.012592

    1

    1.695677883

    4/20/2007

    0.039706

    0.033957

    -0.00568

    0.043363

    4

    1.763006335

    4/27/2007

    -0.00096

    0.001949

    -0.00219

    0.013097

    4

    1.786095798

    5/4/2007

    -0.00918

    -0.04966

    0.015939

    0.015461

    3

    1.813710844

    5/11/2007

    -0.01417

    -0.00354

    -0.00129

    0.000306

    4

    1.811376831

    5/18/2007

    -0.00894

    -0.04308

    0.015653

    0.022446

    4

    1.852034624

    5/25/2007

    -0.00288

    -0.00272

    0.000419

    -0.00922

    3

    1.834958567

    6/1/2007

    0.033037

    0.000341

    0.006252

    0.027195

    1

    1.84643161

    6/8/2007

    -0.08535

    -0.07578

    0.013403

    -0.03732

    3

    1.688834801

    6/15/2007

    0.054641

    0.067495

    -0.025

    0.033482

    2

    1.646611192

    6/22/2007

    -0.08729

    -0.10264

    0.022559

    -0.0396

    3

    1.477609037

    6/29/2007

    -0.02987

    -0.05647

    0.015641

    0.001052

    3

    1.500719717

    7/6/2007

    0.041979

    0.039454

    -0.00739

    0.03604

    1

    1.489629155

    7/13/2007

    -0.04638

    -0.09671

    0.030491

    0.028828

    3

    1.420537557

    7/20/2007

    -0.07014

    -0.12748

    0.038474

    -0.0237

    3

    1.475190729

    7/27/2007

    -0.11847

    -0.17702

    0.06363

    -0.09797

    3

    1.569057739

    8/3/2007

    -0.12592

    -0.20759

    0.10303

    -0.03549

    3

    1.730718413

    8/10/2007

    -0.12265

    -0.1449

    0.058058

    0.028722

    3

    1.831200163

    8/17/2007

    -0.11252

    0.023013

    0.012027

    -0.01059

    2

    1.853224575

    8/24/2007

    0.1837

    0.200732

    -0.11147

    0.04624

    2

    2.225226484

    8/31/2007

    -0.07266

    -0.09181

    0.0605

    -0.00727

    3

    2.020936925

    9/7/2007

    -0.0772

    -0.02548

    0.014523

    -0.02773

    3

    2.050287557

    9/14/2007

    0.017546

    0.02947

    -0.01749

    0.042241

    4

    2.014431726

    9/21/2007

    0.17729

    0.170837

    -0.0712

    0.05592

    1

    2.127079752

    9/28/2007

    0.036704

    0.019905

    -0.00077

    0.001311

    1

    2.205151238

    10/5/2007

    0.033378

    0.016673

    -0.00036

    0.0404

    4

    2.27875381

    10/12/2007

    -0.01484

    -0.05326

    0.009496

    0.005406

    3

    2.291072268

    10/19/2007

    -0.14639

    -0.18852

    0.047872

    -0.07833

    3

    2.400750594

    10/26/2007

    0.07526

    0.045137

    -0.00326

    0.046181

    1

    2.39291345

    11/2/2007

    -0.11635

    -0.17153

    0.047516

    -0.03339

    3

    2.114486015

    11/9/2007

    -0.1491

    -0.18358

    0.08658

    -0.07412

    3

    2.297557789

    11/16/2007

    -0.00875

    -0.02761

    0.01141

    0.006934

    3

    2.323773695

    11/23/2007

    0.022031

    -0.03313

    0.026604

    -0.02473

    3

    2.385594705

    11/30/2007

    0.055406

    0.134851

    -0.05742

    0.056139

    2

    2.248624947

    12/7/2007

    0.068779

    0.071046

    -0.01547

    0.031759

    2

    2.408379756

    12/14/2007

    -0.05472

    -0.08189

    0.021698

    -0.0488

    3

    2.211169012

    12/21/2007

    0.060782

    0.067543

    -0.01561

    0.022494

    2

    2.176654143

    12/28/2007

    0.004214

    -0.01666

    0.00732

    -0.00804

    3

    2.140389389

    1/4/2008

    -0.07069

    -0.10811

    0.029868

    -0.09044

    3

    2.204319175

    1/11/2008

    -0.03428

    -0.07738

    0.022387

    -0.01503

    3

    2.253667601

    1/18/2008

    -0.04532

    -0.0558

    0.01131

    -0.10825

    3

    2.279155618

    1/25/2008

    0.016763

    0.047845

    -0.01996

    0.00818

    2

    2.233666471

    2/1/2008

    0.059754

    0.144937

    -0.0667

    0.097414

    2

    2.557407093

    2/8/2008

    -0.11697

    -0.20385

    0.098954

    -0.09191

    3

    2.036089551

    2/15/2008

    0.066847

    0.071103

    -0.03307

    0.028093

    2

    1.968758745

    2/22/2008

    0.042307

    0.02873

    -0.01076

    0.004622

    1

    2.025320218

    2/29/2008

    -0.05266

    -0.07343

    0.005988

    -0.03323

    3

    1.918665705

    3/7/2008

    -0.02896

    -0.01373

    -0.00619

    -0.056

    3

    1.906792792

    3/14/2008

    -0.06709

    -0.08735

    0.02702

    -0.00809

    3

    1.958315102

    3/20/2008

    0.044904

    0.073384

    -0.03827

    0.064232

    2

    1.88336825

    3/28/2008

    0.006601

    -0.01986

    0.002466

    -0.0215

    1

    1.84597087

    4/4/2008

    0.083367

    0.108027

    -0.02613

    0.08391

    2

    1.999863123

    4/11/2008

    -0.00146

    -0.04739

    0.018339

    -0.05483

    3

    1.905080371

    4/18/2008

    0.119452

    0.134796

    -0.02954

    0.086283

    2

    1.848810419

    4/25/2008

    0.067669

    0.064879

    -0.01286

    0.010803

    1

    1.968758794

    5/2/2008

    0.04365

    0.086786

    -0.02607

    0.022978

    2

    2.054694463

    5/9/2008

    -0.02948

    -0.09114

    0.031423

    -0.03624

    3

    1.867436528

    5/16/2008

    0.077055

    0.054444

    -0.00312

    0.053404

    1

    1.861609445

    5/23/2008

    -0.10099

    -0.18861

    0.03757

    -0.06934

    3

    1.673606297

    5/30/2008

    0.129621

    0.10183

    0.002225

    0.03554

    1

    1.677330697

    6/6/2008

    -0.138

    -0.1297

    0.012611

    -0.0567

    3

    1.445867064

    6/13/2008

    0.038759

    0.046197

    -0.009

    -0.00096

    2

    1.432850286

    6/20/2008

    -0.02086

    0.01136

    -0.00879

    -0.06191

    2

    1.449127051

    6/27/2008

    -0.04675

    -0.02878

    0.000629

    -0.06002

    3

    1.407422799

    7/3/2008

    -0.02904

    -0.00699

    0.006308

    -0.02422

    3

    1.41630059

    7/11/2008

    -0.03631

    -0.04907

    0.02028

    -0.03707

    3

    1.445023504

    7/18/2008

    0.044516

    0.117298

    -0.05982

    0.034191

    2

    1.358578367

    7/25/2008

    0.019086

    -0.03585

    -0.00097

    -0.00463

    1

    1.309875842

    8/1/2008

    0.015106

    0.021306

    -0.01465

    0.004055

    2

    1.32966341

    8/8/2008

    0.06593

    0.034713

    -0.0056

    0.057145

    1

    1.375819903

    8/15/2008

    0.001258

    -0.01324

    0.005661

    0.002901

    3

    1.377550536

    8/22/2008

    0.010311

    -0.04209

    0.019187

    -0.00924

    3

    1.403981013

    8/29/2008

    -0.01039

    -0.02237

    0.001979

    -0.0145

    3

    1.406759572

    9/5/2008

    -0.05659

    -0.05543

    0.011001

    -0.06317

    3

    1.422235237

    9/12/2008

    -0.03743

    -0.02486

    0.003019

    0.015117

    4

    1.426528339

    9/19/2008

    -0.03202

    -0.002

    -0.01357

    0.005401

    4

    1.434232527

    9/26/2008

    -0.13833

    -0.09585

    0.091203

    -0.06704

    3

    1.338082222

    10/3/2008

    -0.20516

    -0.18396

    0.143666

    -0.1876

    3

    1.530318476

    10/10/2008

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    9/14/2012

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    9/21/2012

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    9/28/2012

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    10/12/2012

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    10/26/2012

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    11/2/2012

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    11/9/2012

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    11/16/2012

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    11/23/2012

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    11/30/2012

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    12/7/2012

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    12/14/2012

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    21.16027393

    12/21/2012

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    12/28/2012

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    1/4/2013

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    1/11/2013

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    1/18/2013

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    1/25/2013

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    2/1/2013

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    23.40894956

    2/8/2013

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    2/15/2013

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    2/22/2013

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    3/1/2013

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    22.30151953

    3/8/2013

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    3/15/2013

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    3/22/2013

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    23.68918114

    3/28/2013

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    4/5/2013

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    23.4249486

    4/12/2013

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    22.94144882

    4/19/2013

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    19.46097479

    4/26/2013

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    18.54291158

    5/3/2013

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    18.98522509

    5/10/2013

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    19.43868223

    5/17/2013

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    20.24231117

    5/24/2013

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    19.80844418

    5/31/2013

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    19.98516671

    6/7/2013

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    20.10467488

    6/14/2013

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    19.69729151

    6/21/2013

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    19.87482752

    6/28/2013

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    20.3665542

    7/5/2013

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    1

    22.37666769

    7/12/2013

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    24.11078744

    7/19/2013

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    24.89734401

    7/26/2013

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    25.69501448

    8/2/2013

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    0.119414

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    2

    28.76335147

    8/9/2013

    -0.0363

    -0.03143

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    3

    27.85931684

    8/16/2013

    -0.03175

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    28.30368357

    8/23/2013

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    2

    27.56267445

    8/30/2013

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    23.09293395

    9/6/2013

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    1

    22.88104756

    9/13/2013

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    25.32487116

    9/20/2013

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    1

    25.85002707

    9/27/2013

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    25.13313956

    10/4/2013

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    24.19793776

    10/11/2013

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    22.83996145

    10/18/2013

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    25.03914724

    10/25/2013

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    24.72684668

    11/1/2013

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    24.77939809

    11/8/2013

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    24.68508688

    11/15/2013

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    1

    25.63876369

    11/22/2013

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    26.97119533

    11/29/2013

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    27.2888969

    12/6/2013

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    28.62389744

    12/13/2013

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    27.57379107

    12/20/2013

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    2

    27.16583601

    12/27/2013

    0.053662

    0.073068

    -0.02021

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    2

    29.15078077

    1/3/2014

    -0.02269

    -0.01258

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    3

    28.78399776

    1/10/2014

    0.046475

    0.065698

    -0.01785

    0.012013

    2

    28.27030436

    1/17/2014

    -0.00197

    -0.044

    0.019249

    -0.00398

    3

    27.02639112

    1/24/2014

    -0.13149

    -0.0594

    -0.019

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    3

    26.51293462

    1/31/2014

    -0.08346

    -0.01701

    0.012563

    -0.0086

    3

    26.84600575

    2/7/2014

    0.080644

    0.0331

    -0.03796

    0.01619

    1

    25.82697475

    2/14/2014

    0.079324

    0.076037

    -0.0147

    0.04631

    1

    27.87566954

    2/21/2014

    -0.0353

    0.008705

    -0.01958

    -0.00259

    2

    26.89178071

    2/28/2014

    -0.00967

    -0.04816

    0.01836

    0.025269

    4

    25.59677891

    3/7/2014

    -0.02507

    -0.00177

    -0.00552

    0.019995

    4

    26.10859059

    3/14/2014

    -0.08086

    -0.05318

    -5.79E-05

    -0.03931

    3

    25.08234187

    3/21/2014

    0.06563

    0.073903

    -0.01378

    0.027581

    2

    24.7367054

    3/28/2014

    0.020813

    -0.00121

    0.004627

    -0.00954

    1

    24.7067965

    4/4/2014

    0.039422

    0.062515

    -0.01686

    0.008043

    2

    25.68079168

    4/10/2014

    -0.04354

    -0.02172

    5.03E-05

    -0.03433

    3

    25.12305475

    Disclosure: I am long ZIV.

    Additional disclosure: My long position in ZIV is not related to the simple strategy mentioned in the post.

    Themes: volatility Stocks: XIV, ZIV, XVZ, SPY, SSO
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Comments (1)
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  • jhosmer
    , contributor
    Comments (4) | Send Message
     
    It's amazing that more folks don't pay attention to insights like this. The potential returns are staggering.

     

    I tell almost everyone that I know about the possibilities of these volatility plays, particularly with the impending market correction (or more). Most simply don't (won't) believe that it's possible.

     

    Shame.

     

    Good article. Thanks.
    29 Apr, 07:53 AM Reply Like
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