Vol Factor
Specification
Policy
Rebalancing Interval | Daily |
---|---|
Weights Algorithm | Constant Weights |
Assets
Barclays Bank PLC (VXX) | 100.00% |
Benchmark
SPDR S&P 500 ETF Trust (SPY) |
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.
Assets Report
Policy Report
Backtest Report
From to (12y 11m 19d)
Returns (annualized)
Portfolio | -49.78% |
---|---|
Benchmark | 12.88% |
Risk (annualized)
Portfolio | 67.80% |
---|---|
Benchmark | 17.29% |
Sharpe (annualized)
Portfolio | -0.70 |
---|---|
Benchmark | 0.72 |
Excess Return (annualized)
-62.66% |
Tracking Error (annualized)
81.88% |
Risk Free Rate (annualized)
1.12% |
Growth Charts
Return Distribution
Excess Kurtosis
7.57 |
Skew
1.54 |
Factor Analysis
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Credit Factor | -0.2046 | -0.2046 |
High Beta (Low Beta) | -0.1244 | -0.1244 |
Market Factor | -2.8363 | -2.8363 |
Vol Term Structure | -0.9954 | -0.9954 |
Adjusted R2
Portfolio | 0.64 |
---|---|
Benchmark | 0.94 |
Intercept
Portfolio | -0.00 |
---|---|
Benchmark | 0.00 |