Loro Short Vola Model (LSVM)
Last Update: 15.01.2025
(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
|
31.12.2024 |
daily |
11.75% |
31.15% |
-45.09% |
0.69 |
5 p.a. |
4.29 |
73.91% |
1.12 |
6.71 |
Portfolio Equity Curve:
Annual Statistics:
Sample:
| Symbol | ETF | Inception |
|---|---|---|
|
VXX |
iPath Series B S&P 500 VIX Short Term Futures ETN |
29.01.2009
|