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 11d)

Returns (annualized)

Portfolio 10.20%
Benchmark 15.44%

Risk (annualized)

Portfolio 17.46%
Benchmark 16.65%

Sharpe (annualized)

Portfolio 0.55
Benchmark 0.87

Excess Return (annualized)

-5.24%

Tracking Error (annualized)

19.65%

Information Ratio

-0.27
Statistic Portfolio Benchmark
Downside Volatility 13.32% 17.70%
Sortino Ratio 0.73 0.81
Calmar Ratio 0.30 0.43
Ulcer Index 15.36 15.31
Max Drawdown 31.81% 33.70%
VaR (99% Confidence) $-4,060 $-3,873
VaR (99.9% Confidence) $-5,393 $-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

1275.19

Skew

26.62
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.0965 -0.0965
Size Factor 0.0340 0.0340
Market Factor 0.2462 0.2462
U.S. Tilt (Non U.S.) 0.0490 0.0490

Adjusted R2

Portfolio 0.08
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution