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 Coefficients
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

Factor Attribution