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 5m 2d)
Returns (annualized)
| Portfolio | -48.60% |
| Benchmark | 13.57% |
Risk (annualized)
| Portfolio | 69.05% |
| Benchmark | 17.17% |
Sharpe (annualized)
| Portfolio | -0.65 |
| Benchmark | 0.75 |
Excess Return (annualized)
| -62.17% |
Tracking Error (annualized)
| 82.92% |
Information Ratio
| -0.75 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 55.78% | 18.37% |
| Sortino Ratio | -0.80 | 0.71 |
| Calmar Ratio | -0.45 | 0.38 |
| Ulcer Index | 3.34 | 15.27 |
| Max Drawdown | 100.00% | 33.70% |
| VaR (99% Confidence) | $-16,061 | $-3,993 |
| VaR (99.9% Confidence) | $-21,334 | $-5,304 |
| Beta to Benchmark | -3.08 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Return Distribution
Excess Kurtosis
| 9.09 |
Skew
| 1.69 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | -0.2259 | -0.2259 |
| High Beta (Low Beta) | -0.1394 | -0.1394 |
| Market Factor | -2.8809 | -2.8809 |
| Vol Term Structure | -0.9633 | -0.9633 |
Adjusted R2
| Portfolio | 0.62 |
| Benchmark | 0.94 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |