Short SXVY & UVXY

Portfolio Specification

Assets

ProShares Ultra VIX Short-Term Futures ETF 2x Shares (UVXY) -25.00%
ProShares Short VIX Short-Term Futures ETF -1x Shares (SVXY) -50.00%
SPDR Bloomberg 1-3 Month T-Bill ETF (BIL) 175.00%

Policy

Rebalancing Interval Weekly
Weights Algorithm Constant Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

This portfolio is listed on the Community Portfolios page.

Policy Report

Backtest Report

From to (4m 15d)

Returns

Portfolio 9.47%
Benchmark 8.84%

Risk (annualized)

Portfolio 8.04%
Benchmark 11.32%

Sharpe (annualized)

Portfolio 2.53
Benchmark 1.69

Excess Return

0.62%

Tracking Error (annualized)

7.08%

Information Ratio

0.27
Statistic Portfolio Benchmark
Downside Volatility 7.53% 12.28%
Sortino Ratio 2.70 1.56
Calmar Ratio 9.09 3.77
Ulcer Index 15.83 15.74
Max Drawdown 2.24% 5.07%
VaR (99% Confidence) $-1,860 $-2,620
VaR (99.9% Confidence) $-2,471 $-3,481
Beta to Benchmark 0.56 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

3.83

Skew

0.10
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Style Factor 0.1231 0.0105 0.1127
Size Factor -0.0415 -0.0482 0.0067
Market Factor 0.5358 0.9985 -0.4627
U.S. Tilt (Non U.S.) 0.3166 0.3523 -0.0357

Adjusted R2

Portfolio 0.71
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution