Long Volatility
Portfolio Specification
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Equal Risk Contribution |
| Weights Algorithm Look-back | 1 Year |
| Weights Updating Interval | Quarterly |
This portfolio is listed on the Community Portfolios page.
Policy Report
Backtest Report
From to (13y 9m 5d)
Returns (annualized)
| Portfolio | -3.36% |
| Benchmark | -16.16% |
Risk (annualized)
| Portfolio | 12.79% |
| Benchmark | 32.12% |
Sharpe (annualized)
| Portfolio | -0.34 |
| Benchmark | -0.44 |
Excess Return (annualized)
| 12.80% |
Tracking Error (annualized)
| 24.26% |
Information Ratio
| 0.53 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 12.32% | 27.96% |
| Sortino Ratio | -0.35 | -0.51 |
| Calmar Ratio | -0.10 | -0.16 |
| Ulcer Index | 12.23 | 4.77 |
| Max Drawdown | 41.42% | 91.47% |
| VaR (99% Confidence) | $-2,975 | $-7,471 |
| VaR (99.9% Confidence) | $-3,952 | $-9,924 |
| Beta to Benchmark | 0.29 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 19.94 |
Skew
| 0.29 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | -0.2717 | -0.1212 | -0.1505 |
| High Beta (Low Beta) | -0.3573 | -0.0024 | -0.3549 |
| Vol Factor | 0.0894 | 0.4782 | -0.3888 |
| Vol Term Structure | 0.4134 | 0.9663 | -0.5529 |
Adjusted R2
| Portfolio | 0.72 |
| Benchmark | 0.98 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |