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 8m 12d)

Returns (annualized)

Portfolio -2.46%
Benchmark -18.71%

Risk (annualized)

Portfolio 12.28%
Benchmark 31.57%

Sharpe (annualized)

Portfolio -0.25
Benchmark -0.54

Excess Return (annualized)

16.24%

Tracking Error (annualized)

24.45%

Risk Free Rate (annualized)

1.30%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

22.34

Skew

0.25
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.2974 -0.2974
High Beta (Low Beta) -0.3510 -0.3510
Vol Factor 0.0755 0.0755
Vol Term Structure 0.4076 0.4076

Adjusted R2

Portfolio 0.68
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution