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)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (9y 10m 12d)

Returns (annualized)

Portfolio -2.30%
Benchmark 15.77%

Risk (annualized)

Portfolio 27.65%
Benchmark 17.94%

Sharpe (annualized)

Portfolio -0.02
Benchmark 0.79

Excess Return (annualized)

-18.07%

Tracking Error (annualized)

27.67%

Information Ratio

-0.65
Statistic Portfolio Benchmark
Downside Volatility 29.23% 19.15%
Sortino Ratio -0.02 0.74
Calmar Ratio -0.01 0.42
Ulcer Index 10.91 15.22
Max Drawdown 66.77% 33.70%
VaR (99% Confidence) $-6,431 $-4,172
VaR (99.9% Confidence) $-8,543 $-5,542
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

9.03

Skew

-0.57
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.4215 0.9879 -0.5664
U.S. Tilt (Non U.S.) -0.2004 0.4028 -0.6032
Style Factor 0.0137 0.0269 -0.0132
Size Factor 0.0910 -0.0607 0.1517
High Beta (Low Beta) -0.0818 0.0083 -0.0901
Vol Factor -0.0507 -0.0028 -0.0479

Adjusted R2

Portfolio 0.13
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution