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 5m 3d)
Returns (annualized)
| Portfolio | -48.06% |
| Benchmark | 13.91% |
Risk (annualized)
| Portfolio | 69.43% |
| Benchmark | 17.33% |
Sharpe (annualized)
| Portfolio | -0.63 |
| Benchmark | 0.76 |
Excess Return (annualized)
| -61.97% |
Tracking Error (annualized)
| 83.56% |
Information Ratio
| -0.74 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 56.33% | 18.45% |
| Sortino Ratio | -0.77 | 0.71 |
| Calmar Ratio | -0.44 | 0.39 |
| Ulcer Index | 3.22 | 15.28 |
| Max Drawdown | 100.00% | 33.70% |
| VaR (99% Confidence) | $-16,150 | $-4,030 |
| VaR (99.9% Confidence) | $-21,453 | $-5,353 |
| 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
| 8.88 |
Skew
| 1.62 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.2344 | 0.0507 | -0.2851 |
| High Beta (Low Beta) | -0.1942 | -0.0483 | -0.1459 |
| Market Factor | -2.9093 | 0.9708 | -3.8801 |
| Vol Term Structure | -0.9620 | 0.0045 | -0.9665 |
Adjusted R2
| Portfolio | 0.63 |
| Benchmark | 0.94 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |