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 1m 14d)

Returns (annualized)

Portfolio -2.63%
Benchmark -18.19%

Risk (annualized)

Portfolio 12.58%
Benchmark 32.59%

Sharpe (annualized)

Portfolio -0.26
Benchmark -0.50

Excess Return (annualized)

15.56%

Tracking Error (annualized)

24.96%

Information Ratio

0.62
Statistic Portfolio Benchmark
Downside Volatility 12.04% 28.03%
Sortino Ratio -0.27 -0.58
Calmar Ratio -0.09 -0.18
Ulcer Index 12.41 5.05
Max Drawdown 36.77% 91.42%
VaR (99% Confidence) $-2,924 $-7,579
VaR (99.9% Confidence) $-3,885 $-10,068
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

22.91

Skew

0.30
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.2731 -0.2731
High Beta (Low Beta) -0.3466 -0.3466
Vol Factor 0.0851 0.0851
Vol Term Structure 0.4193 0.4193

Adjusted R2

Portfolio 0.69
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution