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 9m 14d)

Returns (annualized)

Portfolio -48.79%
Benchmark 13.74%

Risk (annualized)

Portfolio 68.92%
Benchmark 17.06%

Sharpe (annualized)

Portfolio -0.66
Benchmark 0.76

Excess Return (annualized)

-62.52%

Tracking Error (annualized)

82.71%

Information Ratio

-0.76
Statistic Portfolio Benchmark
Downside Volatility 55.82% 18.27%
Sortino Ratio -0.81 0.71
Calmar Ratio -0.45 0.39
Ulcer Index 3.29 15.28
Max Drawdown 100.00% 33.70%
VaR (99% Confidence) $-16,030 $-3,967
VaR (99.9% Confidence) $-21,294 $-5,270
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

9.00

Skew

1.66
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.2125 -0.2125
High Beta (Low Beta) -0.1314 -0.1314
Market Factor -2.8967 -2.8967
Vol Term Structure -0.9653 -0.9653

Adjusted R2

Portfolio 0.62
Benchmark 0.94

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution