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 5m 16d)

Returns (annualized)

Portfolio 10.02%
Benchmark 14.84%

Risk (annualized)

Portfolio 17.36%
Benchmark 16.65%

Sharpe (annualized)

Portfolio 0.55
Benchmark 0.83

Excess Return (annualized)

-4.82%

Tracking Error (annualized)

19.55%

Information Ratio

-0.25
Statistic Portfolio Benchmark
Downside Volatility 13.28% 17.71%
Sortino Ratio 0.71 0.78
Calmar Ratio 0.30 0.41
Ulcer Index 15.34 15.31
Max Drawdown 31.81% 33.70%
VaR (99% Confidence) $-4,038 $-3,872
VaR (99.9% Confidence) $-5,364 $-5,143
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

1285.50

Skew

26.70
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.0979 -0.0979
Size Factor 0.0351 0.0351
Market Factor 0.2471 0.2471
U.S. Tilt (Non U.S.) 0.0495 0.0495

Adjusted R2

Portfolio 0.09
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution