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)

This portfolio is listed on the Community Portfolios page.

Policy Report

Backtest Report

From to (13y 5m 22d)

Returns (annualized)

Portfolio -2.67%
Benchmark -15.16%

Risk (annualized)

Portfolio 12.84%
Benchmark 32.38%

Sharpe (annualized)

Portfolio -0.28
Benchmark -0.40

Excess Return (annualized)

12.48%

Tracking Error (annualized)

24.47%

Information Ratio

0.51
Statistic Portfolio Benchmark
Downside Volatility 12.34% 28.15%
Sortino Ratio -0.29 -0.46
Calmar Ratio -0.10 -0.14
Ulcer Index 12.27 4.82
Max Drawdown 36.77% 91.47%
VaR (99% Confidence) $-2,986 $-7,532
VaR (99.9% Confidence) $-3,967 $-10,005
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

20.04

Skew

0.29
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor -0.2745 -0.1238 -0.1507
High Beta (Low Beta) -0.3670 -0.0064 -0.3606
Vol Factor 0.0888 0.4778 -0.3891
Vol Term Structure 0.4128 0.9655 -0.5527

Adjusted R2

Portfolio 0.71
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution