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 (12y 11m 19d)

Returns (annualized)

Portfolio -49.78%
Benchmark 12.88%

Risk (annualized)

Portfolio 67.80%
Benchmark 17.29%

Sharpe (annualized)

Portfolio -0.70
Benchmark 0.72

Excess Return (annualized)

-62.66%

Tracking Error (annualized)

81.88%

Risk Free Rate (annualized)

1.12%

Growth Charts

Return Distribution

Excess Kurtosis

7.57

Skew

1.54
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.2046 -0.2046
High Beta (Low Beta) -0.1244 -0.1244
Market Factor -2.8363 -2.8363
Vol Term Structure -0.9954 -0.9954

Adjusted R2

Portfolio 0.64
Benchmark 0.94

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution