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 (13y 11m 11d)

Returns (annualized)

Portfolio 10.17%
Benchmark 15.62%

Risk (annualized)

Portfolio 17.24%
Benchmark 16.96%

Sharpe (annualized)

Portfolio 0.55
Benchmark 0.85

Excess Return (annualized)

-5.44%

Tracking Error (annualized)

19.38%

Information Ratio

-0.28
Statistic Portfolio Benchmark
Downside Volatility 13.35% 17.92%
Sortino Ratio 0.71 0.81
Calmar Ratio 0.30 0.43
Ulcer Index 15.29 15.31
Max Drawdown 31.81% 33.70%
VaR (99% Confidence) $-4,010 $-3,944
VaR (99.9% Confidence) $-5,326 $-5,239
Beta to Benchmark 0.36 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

1276.85

Skew

26.31
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Style Factor -0.0974 0.0228 -0.1202
Size Factor 0.0390 -0.0524 0.0914
Market Factor 0.2532 0.9874 -0.7342
U.S. Tilt (Non U.S.) 0.0619 0.4220 -0.3601

Adjusted R2

Portfolio 0.10
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution