Dynamic Vol

6123fa9904686ce9b73ebfbb

Asset Report

Selected Assets

Asset ID Name Earliest
Return Date
Latest
Return Date
Type
VIXM ProShares VIX Mid-Term Futures ETF 2011-01-05 2023-05-24 ETF
SVXY ProShares Short VIX Short-Term Futures ETF -1x Shares 2011-10-05 2023-05-24 ETF
Benchmark
TAIL Cambria Tail Risk ETF 2017-06-14 2023-05-24 ETF

Periodic Metrics

1 Day 1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
VIXM 0.35 -1.83 -1.40 0.38 -26.05 -13.20 3.34 -12.78 -18.30 2011-01-05
SVXY -2.84 -0.58 0.88 7.99 43.29 26.74 4.89 -2.67 10.73 2011-10-05
Benchmark 0.70 -1.01 -1.07 -0.69 -14.43 -12.40 -5.82 -7.31 2017-06-14
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
VIXM 1.17 1.50 2.10 26.47 30.05 35.29 32.49 32.65 2011-01-05
SVXY 1.64 1.88 2.12 26.96 35.91 37.99 57.86 59.31 2011-10-05
Benchmark 0.50 0.88 1.06 16.03 13.12 15.07 14.78 2017-06-14
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
VIXM -2.61 -1.07 0.66 -0.97 -1.57 2011-01-05
SVXY 3.50 2.58 0.90 1.56 2.74 2011-10-05
Benchmark -1.41 -1.22 -0.54 -0.68 2017-06-14

Correlation Matrix

VIXM SVXY
VIXM 1 -0.67
SVXY -0.67 1
Documentation

Policy Report

Expected Risk

14.15%

Unique Bets

8.21

Back Test Report

Key Statistics

Returns

Portfolio
6.08%
Benchmark
-6.95%

Risk

Portfolio
20.6%
Benchmark
14.77%

Sharpe Ratio

Portfolio
0.21
Benchmark
-0.66

Excess Returns

13.03%

Tracking Error

18.25%

Risk Free Rate

3.59%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

53.68

Skew

1.75

Excess Kurtosis

63.34

Excess Skew

0.77

Documentation

Factor Analysis

Factor Coefficients

Intercept

-0.0001

Adjusted R2

0.59

Documentation

Factor Attribution

Documentation