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 7m 13d)
Returns (annualized)
| Portfolio | -48.04% |
| Benchmark | 13.54% |
Risk (annualized)
| Portfolio | 68.98% |
| Benchmark | 17.11% |
Sharpe (annualized)
| Portfolio | -0.63 |
| Benchmark | 0.75 |
Excess Return (annualized)
| -61.58% |
Tracking Error (annualized)
| 82.81% |
Information Ratio
| -0.74 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 55.64% | 18.32% |
| Sortino Ratio | -0.79 | 0.70 |
| Calmar Ratio | -0.44 | 0.38 |
| Ulcer Index | 3.31 | 15.27 |
| Max Drawdown | 100.00% | 33.70% |
| VaR (99% Confidence) | $-16,045 | $-3,978 |
| VaR (99.9% Confidence) | $-21,314 | $-5,285 |
| 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
| 9.04 |
Skew
| 1.68 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | -0.2215 | -0.2215 |
| High Beta (Low Beta) | -0.1328 | -0.1328 |
| Market Factor | -2.8887 | -2.8887 |
| Vol Term Structure | -0.9687 | -0.9687 |
Adjusted R2
| Portfolio | 0.62 |
| Benchmark | 0.94 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |