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 9m 20d)

Returns (annualized)

Portfolio -2.33%
Benchmark -18.24%

Risk (annualized)

Portfolio 12.26%
Benchmark 31.50%

Sharpe (annualized)

Portfolio -0.24
Benchmark -0.53

Excess Return (annualized)

15.90%

Tracking Error (annualized)

24.38%

Risk Free Rate (annualized)

1.34%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

22.34

Skew

0.25
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.2967 -0.2967
High Beta (Low Beta) -0.3499 -0.3499
Vol Factor 0.0758 0.0758
Vol Term Structure 0.4065 0.4065

Adjusted R2

Portfolio 0.68
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution