Long Volatility

Specification

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 to (11y 6m 20d)

Returns (annualized)

Portfolio -2.47%
Benchmark -18.35%

Risk (annualized)

Portfolio 12.33%
Benchmark 31.71%

Sharpe (annualized)

Portfolio -0.24
Benchmark -0.52

Excess Return (annualized)

15.89%

Tracking Error (annualized)

24.57%

Risk Free Rate (annualized)

1.25%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

22.26

Skew

0.25
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.2977 -0.2977
High Beta (Low Beta) -0.3519 -0.3519
Vol Factor 0.0754 0.0754
Vol Term Structure 0.4076 0.4076

Adjusted R2

Portfolio 0.68
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution