Vol Factor
Portfolio Specification
Assets
| Barclays Bank PLC (VXX) | 100.00% |
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
Portfolio Description
“Vol” is an equity risk factor that captures sensitivity to changes in price of a volatility index of the S&P 500.
A front-month Vix index is used to proxy this factor.
Policy Report
Backtest Report
From to (14y)
Returns (annualized)
| Portfolio | -46.61% |
| Benchmark | 12.83% |
Risk (annualized)
| Portfolio | 69.98% |
| Benchmark | 17.49% |
Sharpe (annualized)
| Portfolio | -0.58 |
| Benchmark | 0.70 |
Excess Return (annualized)
| -59.44% |
Tracking Error (annualized)
| 84.23% |
Information Ratio
| -0.71 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 56.48% | 18.66% |
| Sortino Ratio | -0.72 | 0.66 |
| Calmar Ratio | -0.40 | 0.36 |
| Ulcer Index | 3.27 | 15.27 |
| Max Drawdown | 100.00% | 33.70% |
| VaR (99% Confidence) | $-16,278 | $-4,068 |
| VaR (99.9% Confidence) | $-21,623 | $-5,404 |
| Beta to Benchmark | -3.09 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Return Distribution
Excess Kurtosis
| 8.79 |
Skew
| 1.63 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | -0.2214 | -0.2214 |
| High Beta (Low Beta) | -0.1802 | -0.1802 |
| Market Factor | -2.9072 | -2.9072 |
| Vol Term Structure | -0.9597 | -0.9597 |
Adjusted R2
| Portfolio | 0.63 |
| Benchmark | 0.94 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |