Optionable ETFs

Portfolio Specification

Policy Report

Backtest Report

From to (17y 2m 25d)

Returns (annualized)

Portfolio 3.79%
Benchmark 11.40%

Risk (annualized)

Portfolio 12.77%
Benchmark 20.12%

Sharpe (annualized)

Portfolio 0.26
Benchmark 0.58

Excess Return (annualized)

-7.61%

Tracking Error (annualized)

11.87%

Information Ratio

-0.64
Statistic Portfolio Benchmark
Downside Volatility 13.32% 21.37%
Sortino Ratio 0.25 0.54
Calmar Ratio 0.09 0.23
Ulcer Index 14.67 14.87
Max Drawdown 38.52% 51.49%
VaR (99% Confidence) $-2,971 $-4,679
VaR (99.9% Confidence) $-3,946 $-6,216
Beta to Benchmark 0.53 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

6.78

Skew

-0.21
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.0160 -0.0160
Size Factor 0.0413 0.0413
Market Factor 0.5463 0.5463
U.S. Tilt (Non U.S.) -0.0284 -0.0284

Adjusted R2

Portfolio 0.75
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution