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.
Assets Report
Policy Report
Backtest Report
From to (13y 2m 19d)
Returns (annualized)
Portfolio | -49.56% |
Benchmark | 13.23% |
Risk (annualized)
Portfolio | 67.42% |
Benchmark | 17.19% |
Sharpe (annualized)
Portfolio | -0.71 |
Benchmark | 0.74 |
Excess Return (annualized)
-62.79% |
Tracking Error (annualized)
81.41% |
Risk Free Rate (annualized)
1.20% |
Growth Charts
Return Distribution
Excess Kurtosis
7.64 |
Skew
1.55 |
Factor Analysis
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Credit Factor | -0.2187 | -0.2187 |
High Beta (Low Beta) | -0.1231 | -0.1231 |
Market Factor | -2.8327 | -2.8327 |
Vol Term Structure | -0.9924 | -0.9924 |
Adjusted R2
Portfolio | 0.64 |
Benchmark | 0.94 |
Intercept
Portfolio | -0.00 |
Benchmark | 0.00 |