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 2d)
Returns (annualized)
| Portfolio | -47.33% |
| Benchmark | 14.10% |
Risk (annualized)
| Portfolio | 69.26% |
| Benchmark | 17.20% |
Sharpe (annualized)
| Portfolio | -0.61 |
| Benchmark | 0.76 |
Excess Return (annualized)
| -61.43% |
Tracking Error (annualized)
| 83.29% |
Information Ratio
| -0.74 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 56.45% | 18.29% |
| Sortino Ratio | -0.75 | 0.72 |
| Calmar Ratio | -0.42 | 0.39 |
| Ulcer Index | 3.16 | 15.29 |
| Max Drawdown | 100.00% | 33.70% |
| VaR (99% Confidence) | $-16,109 | $-4,000 |
| VaR (99.9% Confidence) | $-21,399 | $-5,314 |
| 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
| 8.65 |
Skew
| 1.58 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.2801 | 0.0577 | -0.3378 |
| High Beta (Low Beta) | -0.1718 | -0.0456 | -0.1262 |
| Market Factor | -2.8894 | 0.9674 | -3.8568 |
| Vol Term Structure | -0.9990 | 0.0055 | -1.0046 |
Adjusted R2
| Portfolio | 0.64 |
| Benchmark | 0.94 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |