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 1d)

Returns (annualized)

Portfolio -1.89%
Benchmark -16.07%

Risk (annualized)

Portfolio 12.92%
Benchmark 33.03%

Sharpe (annualized)

Portfolio -0.20
Benchmark -0.41

Excess Return (annualized)

14.17%

Tracking Error (annualized)

25.03%

Information Ratio

0.57
Statistic Portfolio Benchmark
Downside Volatility 12.32% 28.35%
Sortino Ratio -0.21 -0.48
Calmar Ratio -0.07 -0.15
Ulcer Index 12.38 4.97
Max Drawdown 36.77% 91.47%
VaR (99% Confidence) $-3,006 $-7,681
VaR (99.9% Confidence) $-3,993 $-10,203
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

20.83

Skew

0.33
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.2720 -0.2720
High Beta (Low Beta) -0.3575 -0.3575
Vol Factor 0.0879 0.0879
Vol Term Structure 0.4196 0.4196

Adjusted R2

Portfolio 0.71
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution