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 2m 14d)

Returns (annualized)

Portfolio -2.37%
Benchmark -17.26%

Risk (annualized)

Portfolio 12.57%
Benchmark 32.56%

Sharpe (annualized)

Portfolio -0.24
Benchmark -0.47

Excess Return (annualized)

14.89%

Tracking Error (annualized)

24.92%

Information Ratio

0.60
Statistic Portfolio Benchmark
Downside Volatility 12.03% 28.00%
Sortino Ratio -0.25 -0.54
Calmar Ratio -0.08 -0.17
Ulcer Index 12.40 5.03
Max Drawdown 36.77% 91.47%
VaR (99% Confidence) $-2,923 $-7,572
VaR (99.9% Confidence) $-3,882 $-10,059
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

22.81

Skew

0.29
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.2725 -0.2725
High Beta (Low Beta) -0.3474 -0.3474
Vol Factor 0.0856 0.0856
Vol Term Structure 0.4189 0.4189

Adjusted R2

Portfolio 0.69
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution