+143.2%
CME vs VXX
-99.0%
+242.2%
-37.4%
Performance
Returns, benchmark comparison, and relative performance.
Performance by timeframe
Returns for 10y.
| Period | Portfolio | VXX | Excess | Alpha |
|---|---|---|---|---|
| 1D | +0.5% | -4.3% | +4.8% | +0.1% |
| 7D | -1.6% | +2.0% | -3.6% | -1.4% |
| 30D | +5.6% | -7.1% | +12.7% | +4.8% |
| 3M | +5.6% | -28.6% | +34.2% | +2.1% |
| 6M | -8.3% | -44.0% | +35.7% | -13.3% |
| YTD | +4.3% | -31.7% | +36.1% | +1.2% |
| 1Y | +9.1% | -46.3% | +55.4% | +3.4% |
| 3Y | +52.1% | -78.3% | +130.3% | +36.3% |
| 5Y | +79.7% | -95.8% | +175.5% | +32.0% |
| All | +143.2% | -99.0% | +242.2% | +61.8% |
Cumulative growth
Daily Returns
Daily percentage return beside VXX.
Daily Out/Under-Performance
Portfolio return minus VXX return. Positive bars indicate outperformance.
Daily Alpha
Portfolio daily return minus β × VXX return. Early observations use the first valid beta; later observations use the trailing beta estimated for each date.
Cumulative Out/Under-Performance
Relative wealth over 10y: compounded portfolio wealth divided by compounded VXX wealth, less one. Both series rebase at the selected span's start.
Cumulative Alpha
Compounded beta-adjusted residual returns apply the first valid beta to early observations, then the trailing beta ending on each date.
Updating return analytics…
10y analysis · Full analysis span regression · 6 months rolling