Long Volatility

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Risk Contribution
Weights Algorithm Look-back 1 Year
Weights Updating Interval Quarterly
Benchmark
Cambria Tail Risk ETF (TAIL)

Policy Report

Backtest Report

From to (6y 8m 16d )

Returns (annualized)

Portfolio 0.52%
Benchmark -8.60%

Risk (annualized)

Portfolio 15.11%
Benchmark 14.86%

Sharpe (annualized)

Portfolio -0.02
Benchmark -0.66

Excess Return (annualized)

9.12%

Tracking Error (annualized)

14.14%

Risk Free Rate (annualized)

1.93%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

19.58

Skew

0.56
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.3315 -0.3315
High Beta (Low Beta) -0.3657 -0.3657
Vol Factor 0.1019 0.1019
Vol Term Structure 0.4079 0.4079

Adjusted R2

Portfolio 0.76
Benchmark 0.60

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution