Vol Factor

Portfolio Specification

Assets

Barclays Bank PLC (VXX) 100.00%

Policy

Rebalancing Interval Daily
Weights Algorithm Constant Weights

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 (14y 2m 26d)

Returns (annualized)

Portfolio -47.33%
Benchmark 13.47%

Risk (annualized)

Portfolio 69.77%
Benchmark 17.42%

Sharpe (annualized)

Portfolio -0.60
Benchmark 0.73

Excess Return (annualized)

-60.80%

Tracking Error (annualized)

83.96%

Information Ratio

-0.72
Statistic Portfolio Benchmark
Downside Volatility 56.46% 18.56%
Sortino Ratio -0.74 0.69
Calmar Ratio -0.42 0.38
Ulcer Index 3.24 15.27
Max Drawdown 100.00% 33.70%
VaR (99% Confidence) $-16,229 $-4,050
VaR (99.9% Confidence) $-21,558 $-5,380
Beta to Benchmark -3.10 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Return Distribution

Excess Kurtosis

8.79

Skew

1.62
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.2310 -0.2310
High Beta (Low Beta) -0.2002 -0.2002
Market Factor -2.9102 -2.9102
Vol Term Structure -0.9630 -0.9630

Adjusted R2

Portfolio 0.63
Benchmark 0.94

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution