Optionable ETFs

Specification

Policy

Rebalancing Interval	Quarterly
Weights Algorithm	Equal Weights
Weights Updating Interval	Annually

Assets

ISHARES CHINA LARGE-CAP ETF (FXI)

SPDR Gold Shares ETF (GLD)

iShares iBoxx USD High Yield Corporate Bond ETF (HYG)

SPDR S&P 500 ETF Trust (SPY)

iShares 20+ Year Treasury Bond ETF (TLT)

United States Natural Gas Fund (UNG)

United States Oil Fund (USO)

Technology Select Sector SPDR ETF (XLK)

Consumer Staples Select Sector SPDR (XLP)

SPDR Retail ETF (XRT)

Invesco CurrencyShares Euro Trust (FXE)

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From 2008-04-01 to 2024-07-25 (16y 3m 24d)

Returns (annualized)

Portfolio	3.11%
Benchmark	11.11%

Risk (annualized)

Portfolio	12.78%
Benchmark	20.07%

Sharpe (annualized)

Portfolio	0.22
Benchmark	0.57

Excess Return (annualized)

-8.01%

Tracking Error (annualized)

11.74%

Risk Free Rate (annualized)

1.04%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

6.47

Skew

-0.27

Data Table

Factor Coefficients
Factor	Portfolio	Benchmark
Style Factor	-0.0189	-0.0189
Size Factor	0.0433	0.0433
Market Factor	0.5461	0.5461
U.S. Tilt (Non U.S.)	-0.0202	-0.0202

Adjusted R²

Portfolio	0.75
Benchmark	0.97

Intercept

Portfolio	-0.00
Benchmark	0.00

Factor Attribution