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 8m 13d)

Returns (annualized)

Portfolio -2.23%
Benchmark -16.18%

Risk (annualized)

Portfolio 12.94%
Benchmark 33.01%

Sharpe (annualized)

Portfolio -0.23
Benchmark -0.42

Excess Return (annualized)

13.94%

Tracking Error (annualized)

24.98%

Information Ratio

0.56
Statistic Portfolio Benchmark
Downside Volatility 12.37% 28.45%
Sortino Ratio -0.24 -0.49
Calmar Ratio -0.08 -0.15
Ulcer Index 12.37 4.94
Max Drawdown 36.77% 91.47%
VaR (99% Confidence) $-3,009 $-7,677
VaR (99.9% Confidence) $-3,997 $-10,198
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

20.59

Skew

0.31
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.2716 -0.2716
High Beta (Low Beta) -0.3594 -0.3594
Vol Factor 0.0882 0.0882
Vol Term Structure 0.4192 0.4192

Adjusted R2

Portfolio 0.71
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution