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 6m 15d)

Returns (annualized)

Portfolio -3.13%
Benchmark -15.76%

Risk (annualized)

Portfolio 12.84%
Benchmark 32.35%

Sharpe (annualized)

Portfolio -0.31
Benchmark -0.42

Excess Return (annualized)

12.64%

Tracking Error (annualized)

24.43%

Information Ratio

0.52
Statistic Portfolio Benchmark
Downside Volatility 12.36% 28.14%
Sortino Ratio -0.33 -0.49
Calmar Ratio -0.11 -0.15
Ulcer Index 12.26 4.81
Max Drawdown 38.12% 91.47%
VaR (99% Confidence) $-2,986 $-7,524
VaR (99.9% Confidence) $-3,967 $-9,994
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

19.96

Skew

0.29
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor -0.2751 -0.1235 -0.1516
High Beta (Low Beta) -0.3671 -0.0060 -0.3611
Vol Factor 0.0887 0.4779 -0.3892
Vol Term Structure 0.4125 0.9655 -0.5529

Adjusted R2

Portfolio 0.72
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution