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 (12y 10m 23d)

Returns (annualized)

Portfolio -2.62%
Benchmark -16.31%

Risk (annualized)

Portfolio 12.92%
Benchmark 32.81%

Sharpe (annualized)

Portfolio -0.26
Benchmark -0.43

Excess Return (annualized)

13.69%

Tracking Error (annualized)

24.83%

Information Ratio

0.55
Statistic Portfolio Benchmark
Downside Volatility 12.40% 28.37%
Sortino Ratio -0.27 -0.50
Calmar Ratio -0.09 -0.15
Ulcer Index 12.35 4.91
Max Drawdown 36.77% 91.47%
VaR (99% Confidence) $-3,006 $-7,632
VaR (99.9% Confidence) $-3,993 $-10,138
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

20.38

Skew

0.30
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor -0.2739 -0.1268 -0.1471
High Beta (Low Beta) -0.3634 -0.0102 -0.3532
Vol Factor 0.0881 0.4774 -0.3893
Vol Term Structure 0.4163 0.9648 -0.5486

Adjusted R2

Portfolio 0.71
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution