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 (14y 8m 9d)
Returns (annualized)
| Portfolio | -48.27% |
| Benchmark | 13.90% |
Risk (annualized)
| Portfolio | 69.24% |
| Benchmark | 17.25% |
Sharpe (annualized)
| Portfolio | -0.64 |
| Benchmark | 0.76 |
Excess Return (annualized)
| -62.17% |
Tracking Error (annualized)
| 83.31% |
Information Ratio
| -0.75 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 56.27% | 18.38% |
| Sortino Ratio | -0.79 | 0.71 |
| Calmar Ratio | -0.44 | 0.39 |
| Ulcer Index | 3.19 | 15.29 |
| Max Drawdown | 100.00% | 33.70% |
| VaR (99% Confidence) | $-16,106 | $-4,012 |
| VaR (99.9% Confidence) | $-21,395 | $-5,329 |
| Beta to Benchmark | -3.11 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Return Distribution
Excess Kurtosis
| 8.83 |
Skew
| 1.61 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.2368 | 0.0503 | -0.2871 |
| High Beta (Low Beta) | -0.1875 | -0.0459 | -0.1416 |
| Market Factor | -2.9080 | 0.9714 | -3.8794 |
| Vol Term Structure | -0.9768 | 0.0055 | -0.9823 |
Adjusted R2
| Portfolio | 0.63 |
| Benchmark | 0.94 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |