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 4m 15d)

Returns (annualized)

Portfolio 10.22%
Benchmark 15.60%

Risk (annualized)

Portfolio 17.40%
Benchmark 16.62%

Sharpe (annualized)

Portfolio 0.56
Benchmark 0.87

Excess Return (annualized)

-5.38%

Tracking Error (annualized)

19.59%

Information Ratio

-0.27
Statistic Portfolio Benchmark
Downside Volatility 13.29% 17.66%
Sortino Ratio 0.73 0.82
Calmar Ratio 0.30 0.43
Ulcer Index 15.35 15.31
Max Drawdown 31.81% 33.70%
VaR (99% Confidence) $-4,046 $-3,865
VaR (99.9% Confidence) $-5,375 $-5,134
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

1283.00

Skew

26.70
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.0962 -0.0962
Size Factor 0.0345 0.0345
Market Factor 0.2462 0.2462
U.S. Tilt (Non U.S.) 0.0486 0.0486

Adjusted R2

Portfolio 0.08
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution