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 7m 24d)

Returns (annualized)

Portfolio -3.25%
Benchmark -15.84%

Risk (annualized)

Portfolio 12.81%
Benchmark 32.23%

Sharpe (annualized)

Portfolio -0.33
Benchmark -0.43

Excess Return (annualized)

12.60%

Tracking Error (annualized)

24.35%

Information Ratio

0.52
Statistic Portfolio Benchmark
Downside Volatility 12.34% 28.06%
Sortino Ratio -0.34 -0.49
Calmar Ratio -0.11 -0.15
Ulcer Index 12.25 4.79
Max Drawdown 39.32% 91.47%
VaR (99% Confidence) $-2,980 $-7,496
VaR (99.9% Confidence) $-3,958 $-9,957
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

19.98

Skew

0.29
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor -0.2747 -0.1222 -0.1524
High Beta (Low Beta) -0.3654 -0.0052 -0.3602
Vol Factor 0.0888 0.4781 -0.3893
Vol Term Structure 0.4125 0.9655 -0.5530

Adjusted R2

Portfolio 0.72
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution