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 5m 2d)

Returns (annualized)

Portfolio -48.60%
Benchmark 13.57%

Risk (annualized)

Portfolio 69.05%
Benchmark 17.17%

Sharpe (annualized)

Portfolio -0.65
Benchmark 0.75

Excess Return (annualized)

-62.17%

Tracking Error (annualized)

82.92%

Information Ratio

-0.75
Statistic Portfolio Benchmark
Downside Volatility 55.78% 18.37%
Sortino Ratio -0.80 0.71
Calmar Ratio -0.45 0.38
Ulcer Index 3.34 15.27
Max Drawdown 100.00% 33.70%
VaR (99% Confidence) $-16,061 $-3,993
VaR (99.9% Confidence) $-21,334 $-5,304
Beta to Benchmark -3.08 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Return Distribution

Excess Kurtosis

9.09

Skew

1.69
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.2259 -0.2259
High Beta (Low Beta) -0.1394 -0.1394
Market Factor -2.8809 -2.8809
Vol Term Structure -0.9633 -0.9633

Adjusted R2

Portfolio 0.62
Benchmark 0.94

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution