Optionable ETFs

60af1140b40869a2571b57d9

Tells the algorithm how often to rebalance to the policy weights. In between rebalancing, asset weights can change due to return drift.

Tells the back test what factors should be used to help explain portfolio performance.

Set the start and end times for the back test.

If the "Start Date" input is empty, the back test will start on the least recent date possible.

If the "End Date" input is empty, the back test will end on the most recent date possible.

Clear both date input boxes to get the longest possible back-test.

Back Test Report

Back-test returns span 2007-04-19 to 2023-08-11.

Key Statistics

Returns

Portfolio
1.88%
Benchmark
8.58%

Risk

Portfolio
11.9%
Benchmark
17%

Sharpe Ratio

Portfolio
0.01
Benchmark
0.43

Excess Returns

-6.7%

Tracking Error

9.9%

Risk Free Rate

2.42%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

6.11

Skew

-0.27

Excess Kurtosis

7.59

Excess Skew

-0.16

Documentation

Factor Analysis

Factor Coefficients

Intercept

-0.0001

Adjusted R2

0.73

Documentation

Factor Attribution

Documentation