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 3m 9d)

Returns (annualized)

Portfolio 10.13%
Benchmark 15.31%

Risk (annualized)

Portfolio 17.46%
Benchmark 16.65%

Sharpe (annualized)

Portfolio 0.55
Benchmark 0.86

Excess Return (annualized)

-5.19%

Tracking Error (annualized)

19.65%

Information Ratio

-0.26
Statistic Portfolio Benchmark
Downside Volatility 13.32% 17.70%
Sortino Ratio 0.72 0.81
Calmar Ratio 0.30 0.42
Ulcer Index 15.36 15.31
Max Drawdown 31.81% 33.70%
VaR (99% Confidence) $-4,060 $-3,873
VaR (99.9% Confidence) $-5,394 $-5,145
Beta to Benchmark 0.35 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

1274.89

Skew

26.62
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.0964 -0.0964
Size Factor 0.0340 0.0340
Market Factor 0.2460 0.2460
U.S. Tilt (Non U.S.) 0.0488 0.0488

Adjusted R2

Portfolio 0.08
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution