Implied Volatility Skew L_S Portfolios Quantopian SIM_1MM_V5.xlsx


1	Individual Investment Value =			$ 1,000,000.00
2	Max Open Portfolios =			4
3	Max Investment Risk =			$ 4,000,000.00
4									Portfolios
5	Dates (close EOD)	Cumulative Return	Weekly Return	Equity PNL	Risk Free (Cash) Benchmark	Total Portfolio Value	Cash Liquidation		1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16	17	18	19	20	21	22	23	24	25	26	27	28	29	30
6
7	1/4/2016		0.10%	$985.87	$ 1,000,000.00	$ 1,000,985.87			$ 1,000,985.87
8	1/11/2016	0.41%	0.32%	$6,313.87	$ 2,000,000.00	$ 2,006,313.87			$ 1,005,349.15	$ 1,000,964.72
9	1/19/2016	0.77%	0.35%	$10,647.99	$ 3,000,000.00	$ 3,010,647.99			$ 1,014,720.30	$ 996,901.69	$ 999,026.00
10	1/25/2016	0.90%	0.13%	$5,076.16	$ 4,000,000.00	$ 4,005,076.16			$ 1,011,050.90	$ 997,314.36	$ 999,997.64	$ 996,713.26
11	2/1/2016	1.22%	0.32%	$12,828.57	$ 4,000,000.00	$ 4,012,828.57	$ 1,012,729.42		$ 1,012,729.42	$ 999,137.07	$ 1,003,388.50	$ 1,010,896.17	$ 999,406.83
12	2/8/2016	1.73%	0.51%	$20,340.51	$ 4,000,000.00	$ 4,020,340.51	$ 996,438.25			$ 996,438.25	$ 1,014,680.77	$ 996,151.96	$ 1,009,783.53	$ 999,724.25
13	2/16/2016	2.20%	0.47%	$18,997.30	$ 4,000,000.00	$ 4,018,997.30	$ 1,012,426.48				$ 1,012,426.48	$ 1,007,061.88	$ 1,007,436.60	$ 1,004,177.81	$ 1,000,321.01
14	2/22/2016	2.26%	0.06%	$2,581.59	$ 4,000,000.00	$ 4,002,581.59	$ 1,006,201.79					$ 1,006,201.79	$ 1,009,859.79	$ 994,092.79	$ 999,536.93	$ 999,092.08
15	2/29/2016	2.00%	-0.27%	($10,664.66)	$ 4,000,000.00	$ 3,989,335.34	$ 1,009,990.30						$ 1,009,990.30	$ 993,836.38	$ 994,209.00	$ 1,002,789.94	$ 998,500.02
16	3/7/2016	2.33%	0.33%	$13,193.27	$ 4,000,000.00	$ 4,013,193.27	$ 976,030.10							$ 976,030.10	$ 999,396.67	$ 1,011,156.47	$ 1,002,068.67	$ 1,000,571.46
17	3/14/2016	2.67%	0.34%	$13,549.17	$ 4,000,000.00	$ 4,013,549.17	$ 997,746.50								$ 997,746.50	$ 1,012,931.36	$ 1,003,772.30	$ 997,107.71	$ 999,737.80
18	3/21/2016	2.45%	-0.22%	($8,806.44)	$ 4,000,000.00	$ 3,991,193.56	$ 1,010,379.00									$ 1,010,379.00	$ 1,007,654.16	$ 989,899.50	$ 995,045.97	$ 998,593.93
19	3/28/2016	1.80%	-0.64%	($25,726.79)	$ 4,000,000.00	$ 3,974,273.21	$ 1,010,073.74										$ 1,010,073.74	$ 986,519.76	$ 990,565.90	$ 998,799.64	$ 998,387.91
20	4/4/2016	1.88%	0.08%	$3,045.96	$ 4,000,000.00	$ 4,003,045.96	$ 984,924.86											$ 984,924.86	$ 991,763.73	$ 1,008,546.29	$ 1,005,266.97	$ 997,468.97
21	4/11/2016	2.81%	0.94%	$37,400.55	$ 4,000,000.00	$ 4,037,400.55	$ 992,290.40												$ 992,290.40	$ 1,015,514.87	$ 1,008,551.20	$ 1,016,483.54	$ 996,850.94
22	4/18/2016	3.84%	1.03%	$41,181.86	$ 4,000,000.00	$ 4,041,181.86	$ 1,016,695.29													$ 1,016,695.29	$ 1,012,165.11	$ 1,020,098.70	$ 1,009,747.39	$ 999,170.66
23	4/25/2016	4.63%	0.79%	$31,463.95	$ 4,000,000.00	$ 4,031,463.95	$ 1,012,135.92														$ 1,012,135.92	$ 1,025,756.32	$ 1,009,202.14	$ 999,426.39	$ 997,079.10
24	5/2/2016	5.74%	1.11%	$44,554.18	$ 4,000,000.00	$ 4,044,554.18	$ 1,024,291.34															$ 1,024,291.34	$ 1,012,334.94	$ 1,005,133.46	$ 1,025,852.88	$ 1,001,232.90
25	5/9/2016	6.76%	1.01%	$40,448.33	$ 4,000,000.00	$ 4,040,448.33	$ 1,011,665.36																$ 1,011,665.36	$ 1,004,512.04	$ 1,027,593.31	$ 1,008,710.63	$ 999,632.35
26	5/16/2016	7.78%	1.02%	$40,907.71	$ 4,000,000.00	$ 4,040,907.71	$ 1,006,745.51																	$ 1,006,745.51	$ 1,031,807.12	$ 1,004,304.40	$ 1,004,284.02	$ 1,000,512.17
27	5/23/2016	8.31%	0.53%	$21,353.89	$ 4,000,000.00	$ 4,021,353.89	$ 1,033,562.18																		$ 1,033,562.18	$ 1,003,695.64	$ 1,007,460.85	$ 1,009,274.26	$ 1,000,923.14
28	5/31/2016	8.62%	0.30%	$12,171.09	$ 4,000,000.00	$ 4,012,171.09	$ 1,004,708.73																			$ 1,004,708.73	$ 1,007,217.06	$ 1,007,845.41	$ 998,693.45	$ 998,415.17
29	6/6/2016	8.85%	0.23%	$9,218.19	$ 4,000,000.00	$ 4,009,218.19	$ 1,005,670.57																				$ 1,005,670.57	$ 1,009,409.02	$ 995,595.89	$ 1,005,768.84	$ 998,444.44
30	6/13/2016	8.86%	0.01%	$344.99	$ 4,000,000.00	$ 4,000,344.99	$ 1,012,491.06																					$ 1,012,491.06	$ 1,002,699.91	$ 1,003,287.31	$ 995,000.91	$ 999,356.86
31	6/20/2016	8.86%	0.01%	$273.19	$ 4,000,000.00	$ 4,000,273.19	$ 1,000,771.21																						$ 1,000,771.21	$ 1,004,526.67	$ 993,212.87	$ 1,002,619.00	$ 999,914.65
32	6/27/2016	8.88%	0.02%	$736.37	$ 4,000,000.00	$ 4,000,736.37	$ 1,002,254.70																							$ 1,002,254.70	$ 998,488.13	$ 1,008,046.14	$ 1,001,127.16	$ 993,074.94
33	7/5/2016	9.09%	0.21%	$8,475.32	$ 4,000,000.00	$ 4,008,475.32	$ 1,002,047.43																								$ 1,002,047.43	$ 1,009,032.07	$ 1,003,961.69	$ 995,486.37	$ 999,995.19
34	7/12/2016	9.15%	0.06%	$2,374.79	$ 4,000,000.00	$ 4,002,374.79	$ 1,007,824.95																									$ 1,007,824.95	$ 999,808.31	$ 996,775.07	$ 1,006,459.24	$ 999,332.17
35	7/18/2016	9.41%	0.26%	$7,759.54	$ 3,000,000.00	$ 3,007,759.54	$ 1,003,228.75																										$ 1,003,228.75	$ 998,123.16	$ 1,004,351.12	$ 1,005,285.26
36	7/25/2016	9.61%	0.20%	$3,921.77	$ 2,000,000.00	$ 2,003,921.77	$ 998,864.25																											$ 998,864.25	$ 1,001,898.02	$ 1,002,023.75
37	8/1/2016	9.77%	0.17%	$1,665.87	$ 1,000,000.00	$ 1,001,665.87	$ 1,000,540.28																												$ 1,000,540.28	$ 1,001,665.87
38	8/8/2016	9.89%	0.11%	$1,116.18	$ 1,000,000.00	$ -	$ 1,001,116.18																													$ 1,001,116.18
39	9/6/2016	10.10%	0.22%	$2,186.79	$ 1,000,000.00	$ 1,002,186.79																															$ 1,002,186.79
40	9/12/2016	10.16%	0.06%	$1,191.64	$ 2,000,000.00	$ 2,001,191.64																															$ 1,000,750.93	$ 1,000,440.71
41
42	Cumulative Sum		10.16%	$ 371,108.57																																			Total
43	Average		0.30%	$ 10,914.96	$ 3,411,764.71			Individual Non Overlapping Portfolio Returns	1.27%	-0.36%	1.24%	0.62%	1.00%	-2.40%	-0.23%	1.04%	1.01%	-1.51%	-0.77%	1.67%	1.21%	2.43%	1.17%	0.67%	3.36%	0.47%	0.57%	1.25%	0.08%	0.23%	0.20%	0.78%	0.32%	-0.11%	0.65%	0.11%	0.08%	0.04%	16.10%