Long Volatility

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Risk Contribution
Weights Algorithm Look-back 1 Year
Weights Updating Interval Quarterly
Benchmark
ProShares VIX Mid-Term Futures ETF (VIXM)

Policy Report

Backtest Report

From to (11y 6m 11d)

Returns (annualized)

Portfolio -2.31%
Benchmark -17.91%

Risk (annualized)

Portfolio 12.34%
Benchmark 31.72%

Sharpe (annualized)

Portfolio -0.23
Benchmark -0.50

Excess Return (annualized)

15.59%

Tracking Error (annualized)

24.58%

Risk Free Rate (annualized)

1.24%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

22.27

Skew

0.25
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.2980 -0.2980
High Beta (Low Beta) -0.3522 -0.3522
Vol Factor 0.0753 0.0753
Vol Term Structure 0.4073 0.4073

Adjusted R2

Portfolio 0.68
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution