Long Volatility

Portfolio Specification

Assets

AGF U.S. Market Neutral Anti-Beta Fund (BTAL)
Dynamic Vol

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Risk Contribution
Weights Algorithm Look-back 1 Year
Weights Updating Interval Quarterly

Benchmark

ProShares VIX Mid-Term Futures ETF (VIXM)

Policy Report

Backtest Report

From to (12y 7m 24d)

Returns (annualized)

Portfolio -2.13%
Benchmark -16.36%

Risk (annualized)

Portfolio 12.94%
Benchmark 33.05%

Sharpe (annualized)

Portfolio -0.22
Benchmark -0.42

Excess Return (annualized)

14.23%

Tracking Error (annualized)

25.02%

Information Ratio

0.57
Statistic Portfolio Benchmark
Downside Volatility 12.37% 28.48%
Sortino Ratio -0.23 -0.49
Calmar Ratio -0.08 -0.15
Ulcer Index 12.37 4.95
Max Drawdown 36.77% 91.47%
VaR (99% Confidence) $-3,010 $-7,687
VaR (99.9% Confidence) $-3,999 $-10,211
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

20.65

Skew

0.31
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.2722 -0.2722
High Beta (Low Beta) -0.3582 -0.3582
Vol Factor 0.0879 0.0879
Vol Term Structure 0.4197 0.4197

Adjusted R2

Portfolio 0.71
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution