Vol Factor

Portfolio Specification

Assets

Barclays Bank PLC (VXX)100.00%

Policy

Rebalancing Interval Daily
Weights Algorithm Constant Weights

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 16d)

Returns (annualized)

Portfolio -47.10%
Benchmark 13.13%

Risk (annualized)

Portfolio 69.99%
Benchmark 17.49%

Sharpe (annualized)

Portfolio -0.59
Benchmark 0.71

Excess Return (annualized)

-60.23%

Tracking Error (annualized)

84.24%

Information Ratio

-0.72
Statistic Portfolio Benchmark
Downside Volatility 56.57% 18.65%
Sortino Ratio -0.73 0.67
Calmar Ratio -0.41 0.37
Ulcer Index 3.26 15.27
Max Drawdown 100.00% 33.70%
VaR (99% Confidence) $-16,279 $-4,068
VaR (99.9% Confidence) $-21,625 $-5,404
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

8.78

Skew

1.62
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.2272 -0.2272
High Beta (Low Beta) -0.1873 -0.1873
Market Factor -2.9105 -2.9105
Vol Term Structure -0.9562 -0.9562

Adjusted R2

Portfolio 0.63
Benchmark 0.94

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution