Short SXVY & UVXY

Portfolio Specification

Policy

Rebalancing Interval Weekly
Weights Algorithm Constant Weights

This portfolio is listed on the Community Portfolios page.

Policy Report

Backtest Report

From to (13y 10m 28d)

Returns (annualized)

Portfolio 10.11%
Benchmark 15.41%

Risk (annualized)

Portfolio 17.26%
Benchmark 16.98%

Sharpe (annualized)

Portfolio 0.55
Benchmark 0.84

Excess Return (annualized)

-5.30%

Tracking Error (annualized)

19.41%

Information Ratio

-0.27
Statistic Portfolio Benchmark
Downside Volatility 13.37% 17.93%
Sortino Ratio 0.71 0.80
Calmar Ratio 0.30 0.42
Ulcer Index 15.29 15.31
Max Drawdown 31.81% 33.70%
VaR (99% Confidence) $-4,015 $-3,949
VaR (99.9% Confidence) $-5,334 $-5,246
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

1273.44

Skew

26.28
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Style Factor -0.0976 0.0229 -0.1205
Size Factor 0.0391 -0.0524 0.0915
Market Factor 0.2532 0.9874 -0.7342
U.S. Tilt (Non U.S.) 0.0616 0.4221 -0.3605

Adjusted R2

Portfolio 0.10
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution