Long Volatility
Portfolio Specification
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Equal Risk Contribution |
| Weights Algorithm Look-back | 1 Year |
| Weights Updating Interval | Quarterly |
This portfolio is listed on the Community Portfolios page.
Policy Report
Backtest Report
From to (13y 7m 3d)
Returns (annualized)
| Portfolio | -3.19% |
| Benchmark | -15.74% |
Risk (annualized)
| Portfolio | 12.83% |
| Benchmark | 32.29% |
Sharpe (annualized)
| Portfolio | -0.32 |
| Benchmark | -0.42 |
Excess Return (annualized)
| 12.55% |
Tracking Error (annualized)
| 24.39% |
Information Ratio
| 0.51 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 12.35% | 28.11% |
| Sortino Ratio | -0.33 | -0.49 |
| Calmar Ratio | -0.10 | -0.15 |
| Ulcer Index | 12.25 | 4.80 |
| Max Drawdown | 39.12% | 91.47% |
| VaR (99% Confidence) | $-2,983 | $-7,509 |
| VaR (99.9% Confidence) | $-3,963 | $-9,975 |
| 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
| 19.96 |
Skew
| 0.29 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | -0.2750 | -0.1226 | -0.1524 |
| High Beta (Low Beta) | -0.3659 | -0.0055 | -0.3604 |
| Vol Factor | 0.0887 | 0.4780 | -0.3893 |
| Vol Term Structure | 0.4125 | 0.9654 | -0.5530 |
Adjusted R2
| Portfolio | 0.72 |
| Benchmark | 0.98 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |