Vol Term Structure
Specification
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
| SPDR S&P 500 ETF Trust (SPY) |
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 (13y 3m 14d)
Returns (annualized)
| Portfolio | 5.96% |
|---|---|
| Benchmark | 12.88% |
Risk (annualized)
| Portfolio | 14.16% |
|---|---|
| Benchmark | 17.18% |
Sharpe (annualized)
| Portfolio | 0.40 |
|---|---|
| Benchmark | 0.73 |
Excess Return (annualized)
| -6.92% |
Tracking Error (annualized)
| 20.26% |
Risk Free Rate (annualized)
| 1.09% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 25.17 |
Skew
| 0.28 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Style Factor | -0.0981 | -0.0981 |
| Size Factor | 0.0232 | 0.0232 |
| Market Factor | 0.1326 | 0.1326 |
| U.S. Tilt (Non U.S.) | 0.0034 | 0.0034 |
Adjusted R2
| Portfolio | 0.03 |
|---|---|
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
|---|---|
| Benchmark | 0.00 |