Short SXVY & UVXY

Specification

Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (12y 4m 25d )

Returns (annualized)

Portfolio 11.50%
Benchmark 15.16%

Risk (annualized)

Portfolio 17.31%
Benchmark 16.89%

Sharpe (annualized)

Portfolio 0.64
Benchmark 0.86

Excess Return (annualized)

-3.67%

Tracking Error (annualized)

20.04%

Risk Free Rate (annualized)

1.11%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

1386.16

Skew

29.80
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.0983 -0.0983
Size Factor 0.0512 0.0512
Market Factor 0.2223 0.2223
U.S. Tilt (Non U.S.) 0.0451 0.0451

Adjusted R2

Portfolio 0.07
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution