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 (10y 1m 8d)

Returns (annualized)

Portfolio -2.48%
Benchmark 14.79%

Risk (annualized)

Portfolio 27.57%
Benchmark 17.86%

Sharpe (annualized)

Portfolio -0.03
Benchmark 0.74

Excess Return (annualized)

-17.27%

Tracking Error (annualized)

27.42%

Information Ratio

-0.63
Statistic Portfolio Benchmark
Downside Volatility 29.13% 19.03%
Sortino Ratio -0.03 0.69
Calmar Ratio -0.01 0.39
Ulcer Index 10.89 15.23
Max Drawdown 66.77% 33.70%
VaR (99% Confidence) $-6,411 $-4,154
VaR (99.9% Confidence) $-8,516 $-5,519
Beta to Benchmark 0.51 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

8.93

Skew

-0.56
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.4290 0.9880 -0.5590
U.S. Tilt (Non U.S.) -0.2142 0.4015 -0.6157
Style Factor 0.0004 0.0265 -0.0262
Size Factor 0.0944 -0.0603 0.1547
High Beta (Low Beta) -0.0703 0.0078 -0.0781
Vol Factor -0.0518 -0.0028 -0.0491

Adjusted R2

Portfolio 0.14
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution