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 9m 24d)

Returns (annualized)

Portfolio -3.19%
Benchmark -15.94%

Risk (annualized)

Portfolio 12.78%
Benchmark 32.07%

Sharpe (annualized)

Portfolio -0.32
Benchmark -0.44

Excess Return (annualized)

12.75%

Tracking Error (annualized)

24.22%

Information Ratio

0.53
Statistic Portfolio Benchmark
Downside Volatility 12.31% 27.92%
Sortino Ratio -0.34 -0.50
Calmar Ratio -0.10 -0.15
Ulcer Index 12.22 4.76
Max Drawdown 41.42% 91.47%
VaR (99% Confidence) $-2,971 $-7,459
VaR (99.9% Confidence) $-3,947 $-9,908
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

19.97

Skew

0.29
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor -0.2710 -0.1210 -0.1500
High Beta (Low Beta) -0.3546 -0.0013 -0.3533
Vol Factor 0.0895 0.4782 -0.3887
Vol Term Structure 0.4135 0.9661 -0.5526

Adjusted R2

Portfolio 0.71
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution