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 6m 22d)

Returns (annualized)

Portfolio -3.90%
Benchmark 15.67%

Risk (annualized)

Portfolio 27.96%
Benchmark 18.10%

Sharpe (annualized)

Portfolio -0.08
Benchmark 0.78

Excess Return (annualized)

-19.57%

Tracking Error (annualized)

28.01%

Information Ratio

-0.70
Statistic Portfolio Benchmark
Downside Volatility 29.57% 19.29%
Sortino Ratio -0.07 0.73
Calmar Ratio -0.03 0.42
Ulcer Index 10.94 15.20
Max Drawdown 66.77% 33.70%
VaR (99% Confidence) $-6,502 $-4,210
VaR (99.9% Confidence) $-8,637 $-5,592
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

8.86

Skew

-0.56
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.4169 0.9877 -0.5708
U.S. Tilt (Non U.S.) -0.1983 0.4036 -0.6019
Style Factor 0.0097 0.0273 -0.0176
Size Factor 0.0929 -0.0610 0.1539
High Beta (Low Beta) -0.0849 0.0089 -0.0938
Vol Factor -0.0509 -0.0028 -0.0480

Adjusted R2

Portfolio 0.13
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution