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 (12y 9m 24d )

Returns (annualized)

Portfolio -50.26%
Benchmark 13.18%

Risk (annualized)

Portfolio 68.00%
Benchmark 17.35%

Sharpe (annualized)

Portfolio -0.71
Benchmark 0.74

Excess Return (annualized)

-63.44%

Tracking Error (annualized)

82.12%

Risk Free Rate (annualized)

1.07%

Growth Charts

Return Distribution

Excess Kurtosis

7.56

Skew

1.55
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.1245 0.1245
High Beta (Low Beta) -0.0440 -0.0440
Market Factor -2.9043 -2.9043
Vol Term Structure -0.9749 -0.9749

Adjusted R2

Portfolio 0.64
Benchmark 0.94

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution