SPY Strangle Model

Portfolio Specification

Assets

ADVISORSHARES STAR GLOBAL BUY-WRITE ETF (VEGA)250.00%
WisdomTree PutWrite Strategy Fund (PUTW)250.00%
SPDR S&P 500 ETF Trust (SPY)-250.00%
iShares 1-3 Year Treasury Bond ETF (SHY)-150.00%

Policy

Rebalancing Interval Daily
Weights Algorithm Constant Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (9y 4m 2d)

Returns (annualized)

Portfolio -4.42%
Benchmark 15.19%

Risk (annualized)

Portfolio 28.22%
Benchmark 18.26%

Sharpe (annualized)

Portfolio -0.09
Benchmark 0.75

Excess Return (annualized)

-19.61%

Tracking Error (annualized)

28.28%

Information Ratio

-0.69
Statistic Portfolio Benchmark
Downside Volatility 29.83% 19.48%
Sortino Ratio -0.09 0.70
Calmar Ratio -0.04 0.41
Ulcer Index 10.99 15.19
Max Drawdown 66.77% 33.70%
VaR (99% Confidence) $-6,564 $-4,247
VaR (99.9% Confidence) $-8,720 $-5,641
Beta to Benchmark 0.50 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

8.68

Skew

-0.56
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.4186 0.4186
U.S. Tilt (Non U.S.) -0.2015 -0.2015
Style Factor 0.0099 0.0099
Size Factor 0.0982 0.0982
High Beta (Low Beta) -0.0846 -0.0846
Vol Factor -0.0503 -0.0503

Adjusted R2

Portfolio 0.13
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution