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 (12y 9m 20d)

Returns (annualized)

Portfolio 11.66%
Benchmark 15.15%

Risk (annualized)

Portfolio 17.11%
Benchmark 16.74%

Sharpe (annualized)

Portfolio 0.64
Benchmark 0.85

Excess Return (annualized)

-3.49%

Tracking Error (annualized)

19.63%

Risk Free Rate (annualized)

1.24%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

1423.83

Skew

30.04
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.0905 -0.0905
Size Factor 0.0266 0.0266
Market Factor 0.2386 0.2386
U.S. Tilt (Non U.S.) 0.0379 0.0379

Adjusted R2

Portfolio 0.08
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution