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)

Policy Report

Backtest Report

From to (13y 7m 3d)

Returns (annualized)

Portfolio 9.66%
Benchmark 14.71%

Risk (annualized)

Portfolio 17.42%
Benchmark 17.08%

Sharpe (annualized)

Portfolio 0.52
Benchmark 0.81

Excess Return (annualized)

-5.05%

Tracking Error (annualized)

19.60%

Information Ratio

-0.26
Statistic Portfolio Benchmark
Downside Volatility 13.48% 18.08%
Sortino Ratio 0.68 0.76
Calmar Ratio 0.29 0.41
Ulcer Index 15.32 15.30
Max Drawdown 31.81% 33.70%
VaR (99% Confidence) $-4,052 $-3,972
VaR (99.9% Confidence) $-5,383 $-5,277
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

1256.33

Skew

26.16
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.0970 -0.0970
Size Factor 0.0368 0.0368
Market Factor 0.2518 0.2518
U.S. Tilt (Non U.S.) 0.0585 0.0585

Adjusted R2

Portfolio 0.09
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution