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Thursday, March 15, 2012

Trading VXX Using FVE Model

- Hypothetical Simulation using a $10,000 Account, long/short, no leverage used.  October 1, 2009 to March 15, 2012.  Slippage 0.07, $15 commissions per trade.

- Trading simulations based on VXX showed similar but slightly less results than simulations done on front month VIX-futures.  VXX 301% annualized returns vs VIX Futures 344% annualized returns.  Peak to Trough drawdown on daily equity graph of 18.4%, however, was better in VXX simulation. In VIX futures simulation, the comparable figure was 22.8%.  Calmar's Ratio for VXX: 301/18.4 = 16.36.  Calmar's Ratio for Vix Futures: 331/22.8 = 14.52.  So, on a risk adjusted basis, VXX trading strategy appears slightly superior.

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