+48.8%
PEP vs VXX
-99.0%
+147.8%
-30.3%
Performance
Returns, benchmark comparison, and relative performance.
Performance by timeframe
Returns for all.
| Period | Portfolio | VXX | Excess | Alpha |
|---|---|---|---|---|
| 1D | -1.3% | +1.7% | -3.0% | -1.1% |
| 7D | -1.7% | +1.6% | -3.2% | -1.5% |
| 30D | +0.3% | -9.5% | +9.8% | -0.5% |
| 3M | -3.2% | -27.3% | +24.1% | -5.8% |
| 6M | -13.6% | -43.3% | +29.7% | -17.4% |
| YTD | -1.9% | -30.9% | +29.0% | -4.2% |
| 1Y | -0.6% | -47.2% | +46.6% | -5.0% |
| 3Y | -13.6% | -78.5% | +64.9% | -21.0% |
| 5Y | +3.2% | -95.6% | +98.8% | -18.7% |
| All | +48.8% | -99.0% | +147.8% | +7.8% |
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 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