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Ken Yuman
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  • Simulating ZIV 1 comment
    Jun 4, 2011 1:39 AM | about stocks: ZIV, VXZ

    ZIV is a daily inverse of VXZ, or SPVXSTER.

    I couldn't find historical data on SPVXSTER and have to use VXZ, which started trading 2/20/2009.

    ZIV started trading 11/30/2010. I normalized that day's price to the simulated ZIV value for overlaying.

    In the chart, VXZ (blue) and ZIV-norm (green) are actual prices. The ZIV actual price underperforms the simulation.

    Stocks: ZIV, VXZ
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  • RVijay007
    , contributor
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    I'm not so sure about ZIV being the daily inverse of VXZ. I ran a correlation curve between VXZ short returns and ZIV, and the correlation is poor: R^2 is 0.62 with the inverse ZIV roughly equal to 0.75*VXZ daily return. This is a big differential in my mind. Any idea why there is such a drastic difference in these two products, whereas the correlation between XIV and VXX short is much close to 1 (R^2 > .95)?
    13 Feb 2012, 06:55 PM Reply Like
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