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 4m 7d)

Returns (annualized)

Portfolio -2.89%
Benchmark -16.11%

Risk (annualized)

Portfolio 12.85%
Benchmark 32.41%

Sharpe (annualized)

Portfolio -0.29
Benchmark -0.43

Excess Return (annualized)

13.22%

Tracking Error (annualized)

24.51%

Information Ratio

0.54
Statistic Portfolio Benchmark
Downside Volatility 12.35% 28.17%
Sortino Ratio -0.30 -0.50
Calmar Ratio -0.10 -0.15
Ulcer Index 12.29 4.84
Max Drawdown 36.77% 91.47%
VaR (99% Confidence) $-2,989 $-7,539
VaR (99.9% Confidence) $-3,970 $-10,014
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

20.16

Skew

0.30
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor -0.2748 -0.1243 -0.1505
High Beta (Low Beta) -0.3669 -0.0070 -0.3599
Vol Factor 0.0884 0.4777 -0.3893
Vol Term Structure 0.4135 0.9652 -0.5517

Adjusted R2

Portfolio 0.71
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution