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.

Policy Report

Backtest Report

From to (13y 8m 8d)

Returns (annualized)

Portfolio -48.53%
Benchmark 13.45%

Risk (annualized)

Portfolio 69.06%
Benchmark 17.09%

Sharpe (annualized)

Portfolio -0.65
Benchmark 0.75

Excess Return (annualized)

-61.98%

Tracking Error (annualized)

82.88%

Information Ratio

-0.75
Statistic Portfolio Benchmark
Downside Volatility 55.90% 18.31%
Sortino Ratio -0.80 0.70
Calmar Ratio -0.45 0.38
Ulcer Index 3.30 15.27
Max Drawdown 100.00% 33.70%
VaR (99% Confidence) $-16,064 $-3,975
VaR (99.9% Confidence) $-21,339 $-5,281
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

8.98

Skew

1.66
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.2123 -0.2123
High Beta (Low Beta) -0.1319 -0.1319
Market Factor -2.8968 -2.8968
Vol Term Structure -0.9664 -0.9664

Adjusted R2

Portfolio 0.62
Benchmark 0.94

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution