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 publicly 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 through the end of the most recent quarter (see this table for specific dates) using the actual traded 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 February 27th, 2018.
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: