Vol Factor

Portfolio Specification

Assets

Barclays Bank PLC (VXX)100.00%

Policy

Rebalancing Interval Daily
Weights Algorithm Constant Weights

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 23d)

Returns (annualized)

Portfolio -47.17%
Benchmark 13.21%

Risk (annualized)

Portfolio 70.02%
Benchmark 17.49%

Sharpe (annualized)

Portfolio -0.59
Benchmark 0.72

Excess Return (annualized)

-60.38%

Tracking Error (annualized)

84.28%

Information Ratio

-0.72
Statistic Portfolio Benchmark
Downside Volatility 56.66% 18.64%
Sortino Ratio -0.73 0.67
Calmar Ratio -0.42 0.37
Ulcer Index 3.26 15.27
Max Drawdown 100.00% 33.70%
VaR (99% Confidence) $-16,287 $-4,068
VaR (99.9% Confidence) $-21,636 $-5,405
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

8.75

Skew

1.62
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.2317 -0.2317
High Beta (Low Beta) -0.1896 -0.1896
Market Factor -2.9106 -2.9106
Vol Term Structure -0.9595 -0.9595

Adjusted R2

Portfolio 0.63
Benchmark 0.94

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution