Short SXVY & UVXY

Portfolio Specification

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%

Policy

Rebalancing Interval Weekly
Weights Algorithm Constant Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (13y 9m 13d)

Returns (annualized)

Portfolio 9.94%
Benchmark 15.39%

Risk (annualized)

Portfolio 17.33%
Benchmark 17.03%

Sharpe (annualized)

Portfolio 0.54
Benchmark 0.84

Excess Return (annualized)

-5.45%

Tracking Error (annualized)

19.49%

Information Ratio

-0.28
Statistic Portfolio Benchmark
Downside Volatility 13.41% 18.00%
Sortino Ratio 0.70 0.80
Calmar Ratio 0.29 0.42
Ulcer Index 15.30 15.30
Max Drawdown 31.81% 33.70%
VaR (99% Confidence) $-4,030 $-3,960
VaR (99.9% Confidence) $-5,353 $-5,260
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

1266.08

Skew

26.22
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.0971 -0.0971
Size Factor 0.0378 0.0378
Market Factor 0.2528 0.2528
U.S. Tilt (Non U.S.) 0.0610 0.0610

Adjusted R2

Portfolio 0.09
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution