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 1m 13d)

Returns (annualized)

Portfolio -2.58%
Benchmark -15.78%

Risk (annualized)

Portfolio 12.89%
Benchmark 32.62%

Sharpe (annualized)

Portfolio -0.26
Benchmark -0.42

Excess Return (annualized)

13.20%

Tracking Error (annualized)

24.69%

Information Ratio

0.53
Statistic Portfolio Benchmark
Downside Volatility 12.38% 28.29%
Sortino Ratio -0.27 -0.48
Calmar Ratio -0.09 -0.15
Ulcer Index 12.32 4.87
Max Drawdown 36.77% 91.47%
VaR (99% Confidence) $-2,998 $-7,587
VaR (99.9% Confidence) $-3,982 $-10,079
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

20.25

Skew

0.30
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor -0.2742 -0.1253 -0.1489
High Beta (Low Beta) -0.3656 -0.0076 -0.3581
Vol Factor 0.0883 0.4776 -0.3893
Vol Term Structure 0.4144 0.9651 -0.5507

Adjusted R2

Portfolio 0.71
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution