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 (13y 10m 3d)

Returns (annualized)

Portfolio 10.03%
Benchmark 15.45%

Risk (annualized)

Portfolio 17.30%
Benchmark 17.01%

Sharpe (annualized)

Portfolio 0.54
Benchmark 0.84

Excess Return (annualized)

-5.41%

Tracking Error (annualized)

19.45%

Information Ratio

-0.28
Statistic Portfolio Benchmark
Downside Volatility 13.40% 17.98%
Sortino Ratio 0.70 0.80
Calmar Ratio 0.30 0.43
Ulcer Index 15.29 15.31
Max Drawdown 31.81% 33.70%
VaR (99% Confidence) $-4,023 $-3,955
VaR (99.9% Confidence) $-5,345 $-5,254
Beta to Benchmark 0.36 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

1268.92

Skew

26.24
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Style Factor -0.0976 0.0228 -0.1205
Size Factor 0.0380 -0.0526 0.0906
Market Factor 0.2530 0.9874 -0.7344
U.S. Tilt (Non U.S.) 0.0618 0.4222 -0.3603

Adjusted R2

Portfolio 0.09
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution