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 1m 11d)

Returns (annualized)

Portfolio -50.22%
Benchmark 13.45%

Risk (annualized)

Portfolio 67.51%
Benchmark 17.22%

Sharpe (annualized)

Portfolio -0.72
Benchmark 0.75

Excess Return (annualized)

-63.68%

Tracking Error (annualized)

81.54%

Risk Free Rate (annualized)

1.17%

Growth Charts

Return Distribution

Excess Kurtosis

7.64

Skew

1.55
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.2130 -0.2130
High Beta (Low Beta) -0.1189 -0.1189
Market Factor -2.8334 -2.8334
Vol Term Structure -0.9908 -0.9908

Adjusted R2

Portfolio 0.64
Benchmark 0.94

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution