Short SXVY & UVXY

Specification

Policy
Rebalancing Interval Weekly
Weights Algorithm Constant Weights
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%
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (12y 6m 11d)

Returns (annualized)

Portfolio 11.53%
Benchmark 14.86%

Risk (annualized)

Portfolio 17.27%
Benchmark 16.84%

Sharpe (annualized)

Portfolio 0.64
Benchmark 0.84

Excess Return (annualized)

-3.33%

Tracking Error (annualized)

19.81%

Risk Free Rate (annualized)

1.15%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

1399.34

Skew

29.82
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.0916 -0.0916
Size Factor 0.0256 0.0256
Market Factor 0.2381 0.2381
U.S. Tilt (Non U.S.) 0.0377 0.0377

Adjusted R2

Portfolio 0.07
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution