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 10m 6d)
Returns (annualized)
| Portfolio | -46.96% |
| Benchmark | 13.46% |
Risk (annualized)
| Portfolio | 69.34% |
| Benchmark | 17.21% |
Sharpe (annualized)
| Portfolio | -0.60 |
| Benchmark | 0.73 |
Excess Return (annualized)
| -60.42% |
Tracking Error (annualized)
| 83.38% |
Information Ratio
| -0.72 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 56.40% | 18.33% |
| Sortino Ratio | -0.74 | 0.69 |
| Calmar Ratio | -0.42 | 0.37 |
| Ulcer Index | 3.17 | 15.29 |
| Max Drawdown | 100.00% | 33.70% |
| VaR (99% Confidence) | $-16,129 | $-4,003 |
| VaR (99.9% Confidence) | $-21,425 | $-5,318 |
| Beta to Benchmark | -3.12 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Return Distribution
Excess Kurtosis
| 8.69 |
Skew
| 1.59 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.2555 | 0.0537 | -0.3092 |
| High Beta (Low Beta) | -0.1953 | -0.0453 | -0.1500 |
| Market Factor | -2.9031 | 0.9700 | -3.8731 |
| Vol Term Structure | -0.9948 | 0.0056 | -1.0004 |
Adjusted R2
| Portfolio | 0.64 |
| Benchmark | 0.94 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |