Optionable ETFs

Portfolio Specification

Assets

ISHARES CHINA LARGE-CAP ETF (FXI)
SPDR Gold Shares ETF (GLD)
iShares iBoxx USD High Yield Corporate Bond ETF (HYG)
SPDR S&P 500 ETF Trust (SPY)
iShares 20+ Year Treasury Bond ETF (TLT)
United States Natural Gas Fund (UNG)
United States Oil Fund (USO)
Technology Select Sector SPDR ETF (XLK)
Consumer Staples Select Sector SPDR (XLP)
SPDR Retail ETF (XRT)
Invesco CurrencyShares Euro Trust (FXE)

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Weights
Weights Updating Interval Annually

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (17y 1m 7d)

Returns (annualized)

Portfolio 3.55%
Benchmark 10.95%

Risk (annualized)

Portfolio 12.80%
Benchmark 20.16%

Sharpe (annualized)

Portfolio 0.24
Benchmark 0.56

Excess Return (annualized)

-7.40%

Tracking Error (annualized)

11.86%

Information Ratio

-0.62
Statistic Portfolio Benchmark
Downside Volatility 13.35% 21.42%
Sortino Ratio 0.23 0.52
Calmar Ratio 0.08 0.22
Ulcer Index 14.66 14.86
Max Drawdown 38.52% 51.49%
VaR (99% Confidence) $-2,978 $-4,688
VaR (99.9% Confidence) $-3,956 $-6,227
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

6.75

Skew

-0.21
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.0174 -0.0174
Size Factor 0.0408 0.0408
Market Factor 0.5470 0.5470
U.S. Tilt (Non U.S.) -0.0278 -0.0278

Adjusted R2

Portfolio 0.75
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution