Vol Term Structure
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
This portfolio is listed on the Community Portfolios page.
Portfolio Description
“Vol Term” is a volatility risk factor that captures the risk of speculating on a piece of the vol surface.
The factor is proxied by going long a basket of mid-term vix futures and short a basket of front-month vix futures with the goal of neutralizing much of the volatility exposure of the factor.
Policy Report
Backtest Report
From to (14y 7m 10d)
Returns (annualized)
| Portfolio | 6.41% |
| Benchmark | 13.80% |
Risk (annualized)
| Portfolio | 14.20% |
| Benchmark | 17.30% |
Sharpe (annualized)
| Portfolio | 0.41 |
| Benchmark | 0.75 |
Excess Return (annualized)
| -7.39% |
Tracking Error (annualized)
| 20.16% |
Information Ratio
| -0.37 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 14.76% | 18.43% |
| Sortino Ratio | 0.40 | 0.71 |
| Calmar Ratio | 0.16 | 0.39 |
| Ulcer Index | 13.63 | 15.28 |
| Max Drawdown | 35.59% | 33.70% |
| VaR (99% Confidence) | $-3,302 | $-4,023 |
| VaR (99.9% Confidence) | $-4,387 | $-5,344 |
| Beta to Benchmark | 0.16 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 23.01 |
Skew
| 0.15 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Style Factor | -0.0959 | 0.0229 | -0.1187 |
| Size Factor | 0.0333 | -0.0523 | 0.0855 |
| Market Factor | 0.1440 | 0.9839 | -0.8400 |
| U.S. Tilt (Non U.S.) | -0.0009 | 0.4279 | -0.4288 |
Adjusted R2
| Portfolio | 0.04 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |