Long Volatility

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Risk Contribution
Weights Algorithm Look-back 1 Year
Weights Updating Interval Quarterly
Assets
AGF U.S. Market Neutral Anti-Beta Fund (BTAL)
Dynamic Vol
Benchmark
ProShares VIX Mid-Term Futures ETF (VIXM)

Policy Report

Backtest Report

From to (11y 11m 5d)

Returns (annualized)

Portfolio -2.18%
Benchmark -17.86%

Risk (annualized)

Portfolio 12.61%
Benchmark 32.66%

Sharpe (annualized)

Portfolio -0.22
Benchmark -0.48

Excess Return (annualized)

15.68%

Tracking Error (annualized)

25.02%

Information Ratio

0.63
Statistic Portfolio Benchmark
Downside Volatility 12.06% 28.02%
Sortino Ratio -0.23 -0.56
Calmar Ratio -0.08 -0.17
Ulcer Index 12.43 5.09
Max Drawdown 36.77% 91.42%
VaR (99% Confidence) $-2,933 $-7,595
VaR (99.9% Confidence) $-3,896 $-10,089
Beta to Benchmark 0.28 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

23.02

Skew

0.30
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.2747 -0.2747
High Beta (Low Beta) -0.3488 -0.3488
Vol Factor 0.0847 0.0847
Vol Term Structure 0.4197 0.4197

Adjusted R2

Portfolio 0.69
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution