I had earlier posted a strategy which combined SVXY puts and calls and a SVXY/UVXY combo strategy. I was asked what the returns would be if the SVXY UVXY combo strategy was replaced with pure SVXY, so that the strategy would be in autopilot with one annual rebalancing each year. This is for someone who doesn't have time to watch the markets (and I completely understand that, as I am drowning in work myself). Here's the updated Strategy:
On each January, buy one year SVXY puts with strike 30% out of money, and one year SVXY calls with strike 40% out of money. Put 12.5% of entire portfolio in puts, 37.5% in calls, and the remaining in SVXY.
Average annual return from Jan 2005 to Jan 2014 is ~125%. Max annual drawdown is -48%. Strategy returns by year
So 3 down years and some massive up years.
Disclosure: The author is long SVXY.