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 7m 24d)

Returns (annualized)

Portfolio 9.78%
Benchmark 15.01%

Risk (annualized)

Portfolio 17.40%
Benchmark 17.09%

Sharpe (annualized)

Portfolio 0.53
Benchmark 0.82

Excess Return (annualized)

-5.23%

Tracking Error (annualized)

19.57%

Information Ratio

-0.27
Statistic Portfolio Benchmark
Downside Volatility 13.46% 18.07%
Sortino Ratio 0.68 0.78
Calmar Ratio 0.29 0.42
Ulcer Index 15.31 15.30
Max Drawdown 31.81% 33.70%
VaR (99% Confidence) $-4,048 $-3,974
VaR (99.9% Confidence) $-5,377 $-5,279
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

1256.50

Skew

26.14
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.0971 -0.0971
Size Factor 0.0377 0.0377
Market Factor 0.2524 0.2524
U.S. Tilt (Non U.S.) 0.0609 0.0609

Adjusted R2

Portfolio 0.09
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution