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 2m 14d)

Returns (annualized)

Portfolio 9.67%
Benchmark 15.42%

Risk (annualized)

Portfolio 17.43%
Benchmark 16.66%

Sharpe (annualized)

Portfolio 0.53
Benchmark 0.86

Excess Return (annualized)

-5.75%

Tracking Error (annualized)

19.66%

Information Ratio

-0.29
Statistic Portfolio Benchmark
Downside Volatility 13.34% 17.71%
Sortino Ratio 0.69 0.81
Calmar Ratio 0.29 0.43
Ulcer Index 15.37 15.31
Max Drawdown 31.81% 33.70%
VaR (99% Confidence) $-4,054 $-3,876
VaR (99.9% Confidence) $-5,386 $-5,148
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

1288.43

Skew

26.84
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.0974 -0.0974
Size Factor 0.0347 0.0347
Market Factor 0.2450 0.2450
U.S. Tilt (Non U.S.) 0.0460 0.0460

Adjusted R2

Portfolio 0.08
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution