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 (12y 6m 12d)

Returns (annualized)

Portfolio -1.62%
Benchmark -15.77%

Risk (annualized)

Portfolio 12.91%
Benchmark 33.03%

Sharpe (annualized)

Portfolio -0.18
Benchmark -0.40

Excess Return (annualized)

14.15%

Tracking Error (annualized)

25.05%

Information Ratio

0.57
Statistic Portfolio Benchmark
Downside Volatility 12.28% 28.33%
Sortino Ratio -0.19 -0.47
Calmar Ratio -0.06 -0.15
Ulcer Index 12.38 4.97
Max Drawdown 36.77% 91.47%
VaR (99% Confidence) $-3,002 $-7,683
VaR (99.9% Confidence) $-3,987 $-10,206
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

21.03

Skew

0.33
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.2720 -0.2720
High Beta (Low Beta) -0.3570 -0.3570
Vol Factor 0.0877 0.0877
Vol Term Structure 0.4192 0.4192

Adjusted R2

Portfolio 0.71
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution