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 (14y 19d)

Returns (annualized)

Portfolio 10.29%
Benchmark 15.72%

Risk (annualized)

Portfolio 17.20%
Benchmark 16.92%

Sharpe (annualized)

Portfolio 0.56
Benchmark 0.86

Excess Return (annualized)

-5.43%

Tracking Error (annualized)

19.32%

Information Ratio

-0.28
Statistic Portfolio Benchmark
Downside Volatility 13.33% 17.89%
Sortino Ratio 0.72 0.81
Calmar Ratio 0.30 0.43
Ulcer Index 15.28 15.31
Max Drawdown 31.81% 33.70%
VaR (99% Confidence) $-4,000 $-3,936
VaR (99.9% Confidence) $-5,314 $-5,229
Beta to Benchmark 0.37 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

1278.47

Skew

26.28
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Style Factor -0.0964 0.0227 -0.1192
Size Factor 0.0391 -0.0524 0.0915
Market Factor 0.2541 0.9875 -0.7334
U.S. Tilt (Non U.S.) 0.0640 0.4216 -0.3577

Adjusted R2

Portfolio 0.10
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution