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)

This portfolio is listed on the Community Portfolios page.

Policy Report

Backtest Report

From to (14y 8m 13d)

Returns (annualized)

Portfolio 10.53%
Benchmark 15.81%

Risk (annualized)

Portfolio 16.93%
Benchmark 16.79%

Sharpe (annualized)

Portfolio 0.57
Benchmark 0.86

Excess Return (annualized)

-5.28%

Tracking Error (annualized)

18.99%

Information Ratio

-0.28
Statistic Portfolio Benchmark
Downside Volatility 13.18% 17.74%
Sortino Ratio 0.73 0.82
Calmar Ratio 0.30 0.43
Ulcer Index 15.29 15.33
Max Drawdown 31.81% 33.70%
VaR (99% Confidence) $-3,936 $-3,905
VaR (99.9% Confidence) $-5,229 $-5,187
Beta to Benchmark 0.37 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

1303.60

Skew

26.37
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Style Factor -0.0934 0.0209 -0.1143
Size Factor 0.0410 -0.0516 0.0926
Market Factor 0.2576 0.9881 -0.7306
U.S. Tilt (Non U.S.) 0.0653 0.4182 -0.3529

Adjusted R2

Portfolio 0.10
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution