SVXY O/H/L/C Backtests
SVXY is a -0.5X leveraged inverse volatility fund offered by ProShares that is based on short-term VIX futures (1st & 2nd month). The current -0.5X leveraged version of SVXY started trading on February 28, 2018. The publically available historical Open/High/Low/ Close data starts from October 2011 but up until February 28th, 2018 it reflects prices of the previous -1X leveraged version of SVXY. This simulation provides -0.5X SVXY’s simulated open, high, low, and end-of-day closing price from March 2004 through October 2013 based on the underlying VIX futures and after that computed from the actual OHLC values of the -1X leveraged version of SVXY. See this post for more information on how that was done. This spreadsheet also includes the simulated OHLC values for the -1X SVXY and terminated XIV product from March 2004 through October 2013.
For more information on this product see:
- Open / High / Low / Close Simulations for Popular Volatility Exchange Traded Products
- 1.5X UVXY & -0.5X SVXY Open/High/Low/Close values: March 2004–March 2018
A less expensive end-of-day only version of this product is also available, see: End-Of-Day Simulations for Popular Volatility Exchange Traded Products
For more information about SVXY see: