Detailed validation of VXX Prospectus pages 25 and 26

Discussion in 'ETFs' started by stepandfetchit, May 30, 2018.

  1. Since there is NO ETN Forum, please pardon my post in this EFT Forum.



    If you have, or have reference to spreadsheet validating sequence thru Roll with intermediate variable results, please respond or PM me!
    No BS or drama please!
    Am looking to validate a 2 or 3 day sequence passing thru the CBOE VIX Futures Settlement Date.

    Reference pages 25&25 of "http://www.ipathetn.com/US/16/en/documentation.app?instrumentId=259118&documentId=6204338"
    Alternate source of info: "https://acfr.aut.ac.nz/__data/assets/pdf_file/0007/29887/485340-Modeling-VXX.pdf" page 6.

    While the posted formulas seem quite simple and clear, I have been unsuccessful in obtaining "reliable results", so seeking insight from someone who has.
     
  2. Sig

    Sig

    What did you use for your treasuries interest rates? How far are your calculations off, fraction of a percent or whole percents?
     
  3. I used a 1.03% and a 1.9% for a couple recent 3 day sequence periods, but error is much more than the interest rate error. So, while my TBAR could be slightly off, the issue I have is more severe. The CDR[t] value derivation is largest error source! Hoping someone has walked through a simple case to validate the references and time offsets match with real data!

    There has to be an error in what I am doing/assuming. Someone has likely done a proof and has a working reference that would allow quick resolution.
     
  4. Saltynuts

    Saltynuts

    stepandfetchit, are you attempting to essentially come up with results that match what VXX is said to be doing, but can't match it?
     
  5. Yes, by using the documented process stated in the prospectus.