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)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (17y 5m 11d)

Returns (annualized)

Portfolio 3.91%
Benchmark 11.71%

Risk (annualized)

Portfolio 12.71%
Benchmark 20.02%

Sharpe (annualized)

Portfolio 0.27
Benchmark 0.59

Excess Return (annualized)

-7.80%

Tracking Error (annualized)

11.83%

Information Ratio

-0.66
Statistic Portfolio Benchmark
Downside Volatility 13.25% 21.25%
Sortino Ratio 0.26 0.56
Calmar Ratio 0.09 0.23
Ulcer Index 14.69 14.88
Max Drawdown 38.52% 51.49%
VaR (99% Confidence) $-2,956 $-4,657
VaR (99.9% Confidence) $-3,926 $-6,186
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

6.86

Skew

-0.22
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Style Factor -0.0144 0.0125 -0.0269
Size Factor 0.0400 -0.0576 0.0976
Market Factor 0.5457 0.9819 -0.4362
U.S. Tilt (Non U.S.) -0.0283 0.4007 -0.4290

Adjusted R2

Portfolio 0.75
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution