+141.9%
CME vs VXX
-98.9%
+240.9%
-37.4%
Performance
Returns, benchmark comparison, and relative performance.
Performance by timeframe
Returns for all.
| Period | Portfolio | VXX | Excess | Alpha |
|---|---|---|---|---|
| 1D | -0.2% | +3.2% | -3.4% | +0.1% |
| 7D | -2.4% | +7.2% | -9.5% | -1.6% |
| 30D | +6.2% | -5.8% | +12.0% | +5.5% |
| 3M | +4.4% | -29.0% | +33.4% | +0.8% |
| 6M | -9.6% | -44.0% | +34.3% | -14.7% |
| YTD | +3.8% | -28.7% | +32.5% | +1.1% |
| 1Y | +9.5% | -45.2% | +54.7% | +4.1% |
| 3Y | +51.9% | -77.8% | +129.7% | +36.3% |
| 5Y | +78.7% | -95.6% | +174.3% | +31.9% |
| All | +141.9% | -98.9% | +240.9% | +61.7% |
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 all: 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…
all analysis · Full analysis span regression · 6 months rolling