Long Volatility

Portfolio Specification

Assets

AGF U.S. Market Neutral Anti-Beta Fund (BTAL)

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)

Policy Report

Backtest Report

From 2012-10-05 to 2025-07-11 (12y 9m 6d)

Returns (annualized)

Portfolio	-2.48%
Benchmark	-16.33%

Risk (annualized)

Portfolio	12.92%
Benchmark	32.94%

Sharpe (annualized)

Portfolio	-0.25
Benchmark	-0.43

Excess Return (annualized)

13.85%

Tracking Error (annualized)

24.93%

Information Ratio

0.56

Statistic	Portfolio	Benchmark
Downside Volatility	12.36%	28.41%
Sortino Ratio	-0.26	-0.49
Calmar Ratio	-0.09	-0.15
Ulcer Index	12.36	4.93
Max Drawdown	36.77%	91.47%
VaR (99% Confidence)	$-3,005	$-7,661
VaR (99.9% Confidence)	$-3,992	$-10,177
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

20.60

Skew

0.31

Data Table

Factor Coefficients
Factor	Portfolio	Benchmark
Market Factor	-0.2722	-0.2722
High Beta (Low Beta)	-0.3601	-0.3601
Vol Factor	0.0882	0.0882
Vol Term Structure	0.4188	0.4188

Adjusted R²

Portfolio	0.71
Benchmark	0.98

Intercept

Portfolio	0.00
Benchmark	0.00

Factor Attribution