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 7m 3d)
Returns (annualized)
| Portfolio | -47.89% |
| Benchmark | 13.88% |
Risk (annualized)
| Portfolio | 69.44% |
| Benchmark | 17.29% |
Sharpe (annualized)
| Portfolio | -0.62 |
| Benchmark | 0.75 |
Excess Return (annualized)
| -61.77% |
Tracking Error (annualized)
| 83.54% |
Information Ratio
| -0.74 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 56.38% | 18.44% |
| Sortino Ratio | -0.77 | 0.71 |
| Calmar Ratio | -0.43 | 0.39 |
| Ulcer Index | 3.20 | 15.28 |
| Max Drawdown | 100.00% | 33.70% |
| VaR (99% Confidence) | $-16,150 | $-4,022 |
| VaR (99.9% Confidence) | $-21,454 | $-5,343 |
| 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 | -0.2365 | 0.0501 | -0.2866 |
| High Beta (Low Beta) | -0.1916 | -0.0466 | -0.1451 |
| Market Factor | -2.9101 | 0.9714 | -3.8815 |
| Vol Term Structure | -0.9750 | 0.0055 | -0.9805 |
Adjusted R2
| Portfolio | 0.63 |
| Benchmark | 0.94 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |