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 10m 18d)
Returns (annualized)
| Portfolio | -46.83% |
| Benchmark | 13.30% |
Risk (annualized)
| Portfolio | 69.37% |
| Benchmark | 17.21% |
Sharpe (annualized)
| Portfolio | -0.60 |
| Benchmark | 0.72 |
Excess Return (annualized)
| -60.13% |
Tracking Error (annualized)
| 83.41% |
Information Ratio
| -0.72 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 56.44% | 18.33% |
| Sortino Ratio | -0.73 | 0.68 |
| Calmar Ratio | -0.41 | 0.37 |
| Ulcer Index | 3.17 | 15.29 |
| Max Drawdown | 100.00% | 33.70% |
| VaR (99% Confidence) | $-16,135 | $-4,002 |
| VaR (99.9% Confidence) | $-21,434 | $-5,316 |
| Beta to Benchmark | -3.12 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Return Distribution
Excess Kurtosis
| 8.65 |
Skew
| 1.59 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.2547 | 0.0542 | -0.3089 |
| High Beta (Low Beta) | -0.1944 | -0.0454 | -0.1490 |
| Market Factor | -2.9047 | 0.9692 | -3.8739 |
| Vol Term Structure | -0.9963 | 0.0055 | -1.0019 |
Adjusted R2
| Portfolio | 0.64 |
| Benchmark | 0.94 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |