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 4m 15d)

Returns (annualized)

Portfolio -2.51%
Benchmark -17.62%

Risk (annualized)

Portfolio 12.60%
Benchmark 32.53%

Sharpe (annualized)

Portfolio -0.26
Benchmark -0.48

Excess Return (annualized)

15.11%

Tracking Error (annualized)

24.87%

Information Ratio

0.61
Statistic Portfolio Benchmark
Downside Volatility 12.05% 28.11%
Sortino Ratio -0.27 -0.56
Calmar Ratio -0.09 -0.17
Ulcer Index 12.39 5.00
Max Drawdown 36.77% 91.47%
VaR (99% Confidence) $-2,930 $-7,565
VaR (99.9% Confidence) $-3,892 $-10,050
Beta to Benchmark 0.28 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

22.32

Skew

0.30
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.2725 -0.2725
High Beta (Low Beta) -0.3498 -0.3498
Vol Factor 0.0863 0.0863
Vol Term Structure 0.4179 0.4179

Adjusted R2

Portfolio 0.69
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution