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 8m 13d)

Returns (annualized)

Portfolio -3.41%
Benchmark -15.94%

Risk (annualized)

Portfolio 12.81%
Benchmark 32.18%

Sharpe (annualized)

Portfolio -0.34
Benchmark -0.43

Excess Return (annualized)

12.54%

Tracking Error (annualized)

24.31%

Information Ratio

0.52
Statistic Portfolio Benchmark
Downside Volatility 12.34% 28.03%
Sortino Ratio -0.35 -0.50
Calmar Ratio -0.11 -0.15
Ulcer Index 12.24 4.78
Max Drawdown 40.78% 91.47%
VaR (99% Confidence) $-2,979 $-7,484
VaR (99.9% Confidence) $-3,957 $-9,942
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

19.92

Skew

0.29
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor -0.2732 -0.1216 -0.1515
High Beta (Low Beta) -0.3620 -0.0043 -0.3577
Vol Factor 0.0892 0.4782 -0.3890
Vol Term Structure 0.4131 0.9660 -0.5530

Adjusted R2

Portfolio 0.72
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution