Vol Factor

Portfolio Specification

Assets

Barclays Bank PLC (VXX) 100.00%

Policy

Rebalancing Interval Daily
Weights Algorithm Constant Weights

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 3m 22d)

Returns (annualized)

Portfolio -48.10%
Benchmark 13.74%

Risk (annualized)

Portfolio 69.67%
Benchmark 17.39%

Sharpe (annualized)

Portfolio -0.63
Benchmark 0.75

Excess Return (annualized)

-61.84%

Tracking Error (annualized)

83.84%

Information Ratio

-0.74
Statistic Portfolio Benchmark
Downside Volatility 56.48% 18.51%
Sortino Ratio -0.77 0.70
Calmar Ratio -0.44 0.38
Ulcer Index 3.23 15.27
Max Drawdown 100.00% 33.70%
VaR (99% Confidence) $-16,204 $-4,043
VaR (99.9% Confidence) $-21,525 $-5,371
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

8.81

Skew

1.62
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor -0.2305 0.0509 -0.2814
High Beta (Low Beta) -0.2024 -0.0485 -0.1539
Market Factor -2.9112 0.9709 -3.8821
Vol Term Structure -0.9621 0.0045 -0.9665

Adjusted R2

Portfolio 0.63
Benchmark 0.94

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution