Flirting with Models

The Research Library of Newfound Research

Tag: xiv

RIP XIV

From inception through 12/31/2017, XIV earned over 40% annualized per year since inception. It then lost over 90% of its value in two days. Was XIV an example of Taleb's Turkey or is there a deeper lesson to be learned?

Hedge Hunting: Wrangling the VIX

Can ETF instruments like VXX and XIV be combined to get the benefits of spot VIX exposure without all the negative roll yield of futures?
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