Vol Factor
Portfolio Specification
Assets
| Barclays Bank PLC (VXX) | 100.00% |
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
This portfolio is listed on the Community Portfolios page.
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 (15y 1m 12d)
Returns (annualized)
| Portfolio | -47.81% |
| Benchmark | 14.10% |
Risk (annualized)
| Portfolio | 69.14% |
| Benchmark | 17.18% |
Sharpe (annualized)
| Portfolio | -0.63 |
| Benchmark | 0.76 |
Excess Return (annualized)
| -61.91% |
Tracking Error (annualized)
| 83.16% |
Information Ratio
| -0.74 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 56.40% | 18.29% |
| Sortino Ratio | -0.77 | 0.72 |
| Calmar Ratio | -0.43 | 0.39 |
| Ulcer Index | 3.14 | 15.30 |
| Max Drawdown | 100.00% | 33.70% |
| VaR (99% Confidence) | $-16,082 | $-3,996 |
| VaR (99.9% Confidence) | $-21,362 | $-5,308 |
| Beta to Benchmark | -3.12 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Return Distribution
Excess Kurtosis
| 8.66 |
Skew
| 1.58 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.3013 | 0.0592 | -0.3606 |
| High Beta (Low Beta) | -0.1466 | -0.0460 | -0.1006 |
| Market Factor | -2.8765 | 0.9666 | -3.8431 |
| Vol Term Structure | -0.9982 | 0.0058 | -1.0039 |
Adjusted R2
| Portfolio | 0.64 |
| Benchmark | 0.94 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |