Long Volatility

Specification

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 5m 16d)

Returns (annualized)

Portfolio -2.08%
Benchmark -17.25%

Risk (annualized)

Portfolio 12.64%
Benchmark 32.56%

Sharpe (annualized)

Portfolio -0.22
Benchmark -0.47

Excess Return (annualized)

15.17%

Tracking Error (annualized)

24.87%

Information Ratio

0.61
Statistic Portfolio Benchmark
Downside Volatility 12.08% 28.10%
Sortino Ratio -0.23 -0.54
Calmar Ratio -0.08 -0.17
Ulcer Index 12.38 4.99
Max Drawdown 36.77% 91.47%
VaR (99% Confidence) $-2,940 $-7,573
VaR (99.9% Confidence) $-3,906 $-10,060
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

21.85

Skew

0.29
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.2730 -0.2730
High Beta (Low Beta) -0.3518 -0.3518
Vol Factor 0.0863 0.0863
Vol Term Structure 0.4168 0.4168

Adjusted R2

Portfolio 0.70
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution