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 10m 19d)
Returns (annualized)
| Portfolio | -48.19% |
| Benchmark | 13.18% |
Risk (annualized)
| Portfolio | 69.01% |
| Benchmark | 17.08% |
Sharpe (annualized)
| Portfolio | -0.64 |
| Benchmark | 0.73 |
Excess Return (annualized)
| -61.37% |
Tracking Error (annualized)
| 82.84% |
Information Ratio
| -0.74 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 55.89% | 18.31% |
| Sortino Ratio | -0.79 | 0.68 |
| Calmar Ratio | -0.44 | 0.37 |
| Ulcer Index | 3.28 | 15.28 |
| Max Drawdown | 100.00% | 33.70% |
| VaR (99% Confidence) | $-16,051 | $-3,973 |
| VaR (99.9% Confidence) | $-21,321 | $-5,278 |
| Beta to Benchmark | -3.10 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Return Distribution
Excess Kurtosis
| 8.89 |
Skew
| 1.65 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | -0.2056 | -0.2056 |
| High Beta (Low Beta) | -0.1487 | -0.1487 |
| Market Factor | -2.9044 | -2.9044 |
| Vol Term Structure | -0.9635 | -0.9635 |
Adjusted R2
| Portfolio | 0.62 |
| Benchmark | 0.94 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |