Loro Short Vola Model (LSVM) Daily
Last Update: 28.08.2024
(all Date Formats: DD.MM.YYYY)
Copyright 
Summary Statistics:
| Start Date | End Date | Rotation | Exposure | CAGR | Max DD | RRR | Trades | PF | Win | SR | UI |
|---|---|---|---|---|---|---|---|---|---|---|---|
|
01.08.2006
|
17.07.2024 |
daily |
75.85% |
35.51% |
-39.31% |
0.90 |
10 p.a. |
2.18 |
51.06% |
1.11 |
11.65 |
Portfolio Equity Curve (log scale):
Annual Statistics:
Sample:
| Symbol | ETF | Inception |
|---|---|---|
|
VXX |
iPath Series B S&P 500 VIX Short Term Futures ETN |
29.01.2009
|