Vol Factor
Portfolio Specification
Assets
| Barclays Bank PLC (VXX) | 100.00% |
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
This portfolio is listed on the Community Portfolios page.
Portfolio 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 (14y 4m 5d)
Returns (annualized)
| Portfolio | -48.20% |
| Benchmark | 13.81% |
Risk (annualized)
| Portfolio | 69.60% |
| Benchmark | 17.37% |
Sharpe (annualized)
| Portfolio | -0.63 |
| Benchmark | 0.75 |
Excess Return (annualized)
| -62.01% |
Tracking Error (annualized)
| 83.76% |
Information Ratio
| -0.74 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 56.43% | 18.50% |
| Sortino Ratio | -0.78 | 0.70 |
| Calmar Ratio | -0.44 | 0.39 |
| Ulcer Index | 3.23 | 15.28 |
| Max Drawdown | 100.00% | 33.70% |
| VaR (99% Confidence) | $-16,189 | $-4,040 |
| VaR (99.9% Confidence) | $-21,504 | $-5,366 |
| Beta to Benchmark | -3.10 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Return Distribution
Excess Kurtosis
| 8.83 |
Skew
| 1.62 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.2300 | 0.0507 | -0.2808 |
| High Beta (Low Beta) | -0.2022 | -0.0484 | -0.1538 |
| Market Factor | -2.9115 | 0.9709 | -3.8824 |
| Vol Term Structure | -0.9619 | 0.0045 | -0.9664 |
Adjusted R2
| Portfolio | 0.63 |
| Benchmark | 0.94 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |