Loro Short Vola Model (LSVM) Weekly
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 |
|---|---|---|---|---|---|---|---|---|---|---|---|
|
01.09.2004
|
17.07.2024 |
daily |
73.39% |
35.43% |
-50.92% |
0.70 |
1 p.a. |
72.21 |
93.10% |
1.19 |
8.79 |
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
|