Short SXVY & UVXY

Specification

Policy
Rebalancing Interval Weekly
Weights Algorithm Constant Weights
Assets
ProShares Ultra VIX Short-Term Futures ETF 2x Shares (UVXY)-25.00%
ProShares Short VIX Short-Term Futures ETF -1x Shares (SVXY)-50.00%
SPDR Bloomberg 1-3 Month T-Bill ETF (BIL)175.00%
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (13y 6m 12d)

Returns (annualized)

Portfolio 9.58%
Benchmark 14.17%

Risk (annualized)

Portfolio 17.45%
Benchmark 17.06%

Sharpe (annualized)

Portfolio 0.52
Benchmark 0.78

Excess Return (annualized)

-4.59%

Tracking Error (annualized)

19.62%

Information Ratio

-0.23
Statistic Portfolio Benchmark
Downside Volatility 13.49% 18.07%
Sortino Ratio 0.67 0.74
Calmar Ratio 0.29 0.40
Ulcer Index 15.33 15.30
Max Drawdown 31.81% 33.70%
VaR (99% Confidence) $-4,059 $-3,968
VaR (99.9% Confidence) $-5,392 $-5,272
Beta to Benchmark 0.36 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

1252.83

Skew

26.13
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.0971 -0.0971
Size Factor 0.0365 0.0365
Market Factor 0.2517 0.2517
U.S. Tilt (Non U.S.) 0.0575 0.0575

Adjusted R2

Portfolio 0.09
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution