Optionable ETFs

Specification

Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (15y 11m 25d)

Returns (annualized)

Portfolio 3.04%
Benchmark 11.07%

Risk (annualized)

Portfolio 12.83%
Benchmark 20.21%

Sharpe (annualized)

Portfolio 0.22
Benchmark 0.57

Excess Return (annualized)

-8.03%

Tracking Error (annualized)

11.80%

Risk Free Rate (annualized)

0.96%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

6.52

Skew

-0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.0191 -0.0191
Size Factor 0.0416 0.0416
Market Factor 0.5454 0.5454
U.S. Tilt (Non U.S.) -0.0183 -0.0183

Adjusted R2

Portfolio 0.76
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution