Long Volatility

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Risk Contribution
Weights Algorithm Look-back 1 Year
Weights Updating Interval Quarterly
Assets
AGF U.S. Market Neutral Anti-Beta Fund (BTAL)
Dynamic Vol
Benchmark
ProShares VIX Mid-Term Futures ETF (VIXM)

Policy Report

Backtest Report

From to (12y 3m 9d)

Returns (annualized)

Portfolio -2.52%
Benchmark -17.62%

Risk (annualized)

Portfolio 12.59%
Benchmark 32.62%

Sharpe (annualized)

Portfolio -0.25
Benchmark -0.48

Excess Return (annualized)

15.10%

Tracking Error (annualized)

24.95%

Information Ratio

0.61
Statistic Portfolio Benchmark
Downside Volatility 12.07% 28.15%
Sortino Ratio -0.27 -0.55
Calmar Ratio -0.09 -0.17
Ulcer Index 12.40 5.02
Max Drawdown 36.77% 91.47%
VaR (99% Confidence) $-2,927 $-7,586
VaR (99.9% Confidence) $-3,888 $-10,078
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

22.57

Skew

0.29
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.2715 -0.2715
High Beta (Low Beta) -0.3469 -0.3469
Vol Factor 0.0862 0.0862
Vol Term Structure 0.4192 0.4192

Adjusted R2

Portfolio 0.70
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution