Simulating VIX ETP Data

VIX ETPs are a recent addition to the investing world. The table below shows some of the most commonly traded VIX ETPs and their respective launch dates:

VIX ETP Launch Dates

As a general rule when designing trading strategies, we want access to as much historical data as possible, so usually the short history available on these ETPs would make designing a robust strategy difficult.

But there are two additional sources of data that, used together, allow us to simulate ETP performance all the way back to early 2004 with a high degree of accuracy:

  1. From 12/2005 to the launch of each ETP, we use the index each ETP tracks, called the S&P 500 VIX Short-term (or Mid-Term) Futures Index TR, with an allowance for estimated expenses, in place of the actual ETP. Unfortunately, these indices are not publicly available from free data sources.
  2. From 03/2004 to 12/2005, we simulate how these ETPs would have performed using the underlying VIX futures contracts that they’re comprised of, with an allowance for estimated expenses. Because the method in which the ETPs rotate between these futures contracts is mechanical and public knowledge, these simulations closely match actual ETP performance.

Using this combined approach we’re able to accurately estimate VIX ETP performance back to early 2004, and all of the backtests that you’ll find on this site are based on this estimated data prior to each ETP’s respective launch.