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 11m 11d)
Returns (annualized)
| Portfolio | -46.34% |
| Benchmark | 12.39% |
Risk (annualized)
| Portfolio | 70.01% |
| Benchmark | 17.47% |
Sharpe (annualized)
| Portfolio | -0.57 |
| Benchmark | 0.68 |
Excess Return (annualized)
| -58.74% |
Tracking Error (annualized)
| 84.23% |
Information Ratio
| -0.70 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 56.45% | 18.65% |
| Sortino Ratio | -0.71 | 0.64 |
| Calmar Ratio | -0.40 | 0.35 |
| Ulcer Index | 3.27 | 15.27 |
| Max Drawdown | 100.00% | 33.70% |
| VaR (99% Confidence) | $-16,283 | $-4,064 |
| VaR (99.9% Confidence) | $-21,630 | $-5,398 |
| Beta to Benchmark | -3.09 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Return Distribution
Excess Kurtosis
| 8.81 |
Skew
| 1.64 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | -0.2151 | -0.2151 |
| High Beta (Low Beta) | -0.1813 | -0.1813 |
| Market Factor | -2.9075 | -2.9075 |
| Vol Term Structure | -0.9602 | -0.9602 |
Adjusted R2
| Portfolio | 0.63 |
| Benchmark | 0.94 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |