Long Volatility
The most recent backtest attempt failed. A previously successful backtest (run on 2025-12-24) remains and is visible below.
failed to run backtest: not enough data
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 2m 14d)
Returns (annualized)
| Portfolio | -2.93% |
| Benchmark | -16.42% |
Risk (annualized)
| Portfolio | 12.89% |
| Benchmark | 32.54% |
Sharpe (annualized)
| Portfolio | -0.29 |
| Benchmark | -0.44 |
Excess Return (annualized)
| 13.48% |
Tracking Error (annualized)
| 24.62% |
Information Ratio
| 0.55 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 12.37% | 28.23% |
| Sortino Ratio | -0.31 | -0.51 |
| Calmar Ratio | -0.10 | -0.16 |
| Ulcer Index | 12.31 | 4.86 |
| Max Drawdown | 36.77% | 91.47% |
| VaR (99% Confidence) | $-2,997 | $-7,569 |
| VaR (99.9% Confidence) | $-3,981 | $-10,055 |
| 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
| 20.15 |
Skew
| 0.30 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | -0.2750 | -0.1249 | -0.1501 |
| High Beta (Low Beta) | -0.3666 | -0.0076 | -0.3590 |
| Vol Factor | 0.0883 | 0.4776 | -0.3893 |
| Vol Term Structure | 0.4139 | 0.9653 | -0.5514 |
Adjusted R2
| Portfolio | 0.71 |
| Benchmark | 0.98 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |