Short SXVY & UVXY

Specification

Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (12y 8m 12d)

Returns (annualized)

Portfolio 11.80%
Benchmark 15.40%

Risk (annualized)

Portfolio 17.16%
Benchmark 16.77%

Sharpe (annualized)

Portfolio 0.65
Benchmark 0.87

Excess Return (annualized)

-3.60%

Tracking Error (annualized)

19.69%

Risk Free Rate (annualized)

1.20%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

1416.22

Skew

29.99
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.0894 -0.0894
Size Factor 0.0253 0.0253
Market Factor 0.2386 0.2386
U.S. Tilt (Non U.S.) 0.0373 0.0373

Adjusted R2

Portfolio 0.07
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution