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 8m 12d)

Returns (annualized)

Portfolio -3.22%
Benchmark 15.64%

Risk (annualized)

Portfolio 27.76%
Benchmark 18.03%

Sharpe (annualized)

Portfolio -0.06
Benchmark 0.78

Excess Return (annualized)

-18.86%

Tracking Error (annualized)

27.82%

Information Ratio

-0.68
Statistic Portfolio Benchmark
Downside Volatility 29.35% 19.23%
Sortino Ratio -0.05 0.73
Calmar Ratio -0.02 0.42
Ulcer Index 10.92 15.21
Max Drawdown 66.77% 33.70%
VaR (99% Confidence) $-6,456 $-4,192
VaR (99.9% Confidence) $-8,576 $-5,569
Beta to Benchmark 0.49 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

9.02

Skew

-0.57
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.4159 0.9879 -0.5720
U.S. Tilt (Non U.S.) -0.2005 0.4028 -0.6034
Style Factor 0.0096 0.0270 -0.0174
Size Factor 0.0919 -0.0605 0.1525
High Beta (Low Beta) -0.0877 0.0083 -0.0960
Vol Factor -0.0510 -0.0028 -0.0482

Adjusted R2

Portfolio 0.13
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution