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 9m)
Returns (annualized)
| Portfolio | -47.96% |
| Benchmark | 13.83% |
Risk (annualized)
| Portfolio | 69.27% |
| Benchmark | 17.24% |
Sharpe (annualized)
| Portfolio | -0.63 |
| Benchmark | 0.75 |
Excess Return (annualized)
| -61.78% |
Tracking Error (annualized)
| 83.34% |
Information Ratio
| -0.74 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 56.35% | 18.37% |
| Sortino Ratio | -0.77 | 0.70 |
| Calmar Ratio | -0.44 | 0.38 |
| Ulcer Index | 3.18 | 15.29 |
| Max Drawdown | 100.00% | 33.70% |
| VaR (99% Confidence) | $-16,113 | $-4,010 |
| VaR (99.9% Confidence) | $-21,404 | $-5,326 |
| Beta to Benchmark | -3.11 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Return Distribution
Excess Kurtosis
| 8.78 |
Skew
| 1.61 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.2436 | 0.0507 | -0.2943 |
| High Beta (Low Beta) | -0.1888 | -0.0459 | -0.1429 |
| Market Factor | -2.9061 | 0.9712 | -3.8773 |
| Vol Term Structure | -0.9829 | 0.0059 | -0.9888 |
Adjusted R2
| Portfolio | 0.63 |
| Benchmark | 0.94 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |