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 11d)

Returns (annualized)

Portfolio -2.71%
Benchmark -15.97%

Risk (annualized)

Portfolio 12.89%
Benchmark 32.69%

Sharpe (annualized)

Portfolio -0.27
Benchmark -0.42

Excess Return (annualized)

13.26%

Tracking Error (annualized)

24.74%

Information Ratio

0.54
Statistic Portfolio Benchmark
Downside Volatility 12.38% 28.32%
Sortino Ratio -0.28 -0.49
Calmar Ratio -0.10 -0.15
Ulcer Index 12.33 4.89
Max Drawdown 36.77% 91.47%
VaR (99% Confidence) $-2,998 $-7,603
VaR (99.9% Confidence) $-3,982 $-10,100
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

20.39

Skew

0.30
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor -0.2742 -0.1258 -0.1484
High Beta (Low Beta) -0.3643 -0.0086 -0.3557
Vol Factor 0.0881 0.4775 -0.3894
Vol Term Structure 0.4150 0.9650 -0.5500

Adjusted R2

Portfolio 0.71
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution