Vol Term Structure
Specification
Policy
Rebalancing Interval | Daily |
---|---|
Weights Algorithm | Constant Weights |
Benchmark
SPDR S&P 500 ETF Trust (SPY) |
Description
“Vol Term” is a volatility risk factor that captures the risk of speculating on a piece of the vol surface.
The factor is proxied by going long a basket of mid-term vix futures and short a basket of front-month vix futures with the goal of neutralizing much of the volatility exposure of the factor.
Assets Report
Policy Report
Backtest Report
From to (13y 3m 20d)
Returns (annualized)
Portfolio | 5.86% |
---|---|
Benchmark | 13.01% |
Risk (annualized)
Portfolio | 14.16% |
---|---|
Benchmark | 17.17% |
Sharpe (annualized)
Portfolio | 0.40 |
---|---|
Benchmark | 0.74 |
Excess Return (annualized)
-7.15% |
Tracking Error (annualized)
20.25% |
Risk Free Rate (annualized)
1.10% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
25.15 |
Skew
0.28 |
Factor Analysis
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Style Factor | -0.0986 | -0.0986 |
Size Factor | 0.0234 | 0.0234 |
Market Factor | 0.1326 | 0.1326 |
U.S. Tilt (Non U.S.) | 0.0039 | 0.0039 |
Adjusted R2
Portfolio | 0.03 |
---|---|
Benchmark | 0.99 |
Intercept
Portfolio | 0.00 |
---|---|
Benchmark | 0.00 |