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 (12y 9m 27d)

Returns (annualized)

Portfolio -2.47%
Benchmark -16.09%

Risk (annualized)

Portfolio 12.91%
Benchmark 32.88%

Sharpe (annualized)

Portfolio -0.25
Benchmark -0.42

Excess Return (annualized)

13.62%

Tracking Error (annualized)

24.89%

Information Ratio

0.55
Statistic Portfolio Benchmark
Downside Volatility 12.36% 28.39%
Sortino Ratio -0.26 -0.49
Calmar Ratio -0.09 -0.15
Ulcer Index 12.36 4.92
Max Drawdown 36.77% 91.47%
VaR (99% Confidence) $-3,003 $-7,648
VaR (99.9% Confidence) $-3,989 $-10,159
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

20.57

Skew

0.31
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.2731 -0.2731
High Beta (Low Beta) -0.3605 -0.3605
Vol Factor 0.0880 0.0880
Vol Term Structure 0.4178 0.4178

Adjusted R2

Portfolio 0.71
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution