Vol Term Structure
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
Portfolio 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.
Policy Report
Backtest Report
From to (14y 6m 5d)
Returns (annualized)
| Portfolio | 5.86% |
| Benchmark | 13.69% |
Risk (annualized)
| Portfolio | 14.21% |
| Benchmark | 17.34% |
Sharpe (annualized)
| Portfolio | 0.38 |
| Benchmark | 0.75 |
Excess Return (annualized)
| -7.83% |
Tracking Error (annualized)
| 20.22% |
Information Ratio
| -0.39 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 14.75% | 18.49% |
| Sortino Ratio | 0.36 | 0.70 |
| Calmar Ratio | 0.15 | 0.38 |
| Ulcer Index | 13.62 | 15.28 |
| Max Drawdown | 35.59% | 33.70% |
| VaR (99% Confidence) | $-3,304 | $-4,032 |
| VaR (99.9% Confidence) | $-4,389 | $-5,357 |
| Beta to Benchmark | 0.16 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 23.12 |
Skew
| 0.15 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Style Factor | -0.0945 | -0.0945 |
| Size Factor | 0.0311 | 0.0311 |
| Market Factor | 0.1429 | 0.1429 |
| U.S. Tilt (Non U.S.) | -0.0033 | -0.0033 |
Adjusted R2
| Portfolio | 0.04 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |