SPY Strangle Model

Specification

Policy
Rebalancing Interval Daily
Weights Algorithm Constant Weights
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%
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (8y 1m 24d)

Returns (annualized)

Portfolio -6.18%
Benchmark 14.40%

Risk (annualized)

Portfolio 28.74%
Benchmark 18.12%

Sharpe (annualized)

Portfolio -0.14
Benchmark 0.74

Excess Return (annualized)

-20.58%

Tracking Error (annualized)

29.16%

Risk Free Rate (annualized)

1.74%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

8.86

Skew

-0.55
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3686 0.3686
U.S. Tilt (Non U.S.) -0.1805 -0.1805
Style Factor 0.0220 0.0220
Size Factor 0.1609 0.1609
High Beta (Low Beta) -0.1055 -0.1055
Vol Factor -0.0504 -0.0504

Adjusted R2

Portfolio 0.11
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution