Vol Factor
Specification
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Assets
| Barclays Bank PLC (VXX) | 100.00% |
Benchmark
| SPDR S&P 500 ETF Trust (SPY) |
Description
“Vol” is an equity risk factor that captures sensitivity to changes in price of a volatility index of the S&P 500.
A front-month Vix index is used to proxy this factor.
Policy Report
Backtest Report
From to (12y 11m 10d)
Returns (annualized)
| Portfolio | -49.53% |
|---|---|
| Benchmark | 12.91% |
Risk (annualized)
| Portfolio | 67.83% |
|---|---|
| Benchmark | 17.30% |
Sharpe (annualized)
| Portfolio | -0.70 |
|---|---|
| Benchmark | 0.73 |
Excess Return (annualized)
| -62.44% |
Tracking Error (annualized)
| 81.91% |
Risk Free Rate (annualized)
| 1.11% |
Growth Charts
Return Distribution
Excess Kurtosis
| 7.57 |
Skew
| 1.54 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | -0.2046 | -0.2046 |
| High Beta (Low Beta) | -0.1255 | -0.1255 |
| Market Factor | -2.8351 | -2.8351 |
| Vol Term Structure | -0.9967 | -0.9967 |
Adjusted R2
| Portfolio | 0.64 |
|---|---|
| Benchmark | 0.94 |
Intercept
| Portfolio | -0.00 |
|---|---|
| Benchmark | 0.00 |