Optionable ETFs

Specification

Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (16y 1m 16d)

Returns (annualized)

Portfolio 3.39%
Benchmark 11.11%

Risk (annualized)

Portfolio 12.81%
Benchmark 20.15%

Sharpe (annualized)

Portfolio 0.25
Benchmark 0.57

Excess Return (annualized)

-7.72%

Tracking Error (annualized)

11.77%

Risk Free Rate (annualized)

1.00%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

6.49

Skew

-0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.0190 -0.0190
Size Factor 0.0426 0.0426
Market Factor 0.5458 0.5458
U.S. Tilt (Non U.S.) -0.0188 -0.0188

Adjusted R2

Portfolio 0.75
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution