Vol Term Structure
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
This portfolio is listed on the Community Portfolios page.
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 (4m 21d)
Returns
| Portfolio | 12.23% |
| Benchmark | 9.41% |
Risk (annualized)
| Portfolio | 12.36% |
| Benchmark | 11.19% |
Sharpe (annualized)
| Portfolio | 2.13 |
| Benchmark | 1.77 |
Excess Return
| 2.81% |
Tracking Error (annualized)
| 10.16% |
Information Ratio
| 0.83 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 14.28% | 12.15% |
| Sortino Ratio | 1.85 | 1.63 |
| Calmar Ratio | 4.82 | 3.90 |
| Ulcer Index | 15.75 | 15.74 |
| Max Drawdown | 5.47% | 5.07% |
| VaR (99% Confidence) | $-2,861 | $-2,590 |
| VaR (99.9% Confidence) | $-3,801 | $-3,441 |
| Beta to Benchmark | 0.70 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 4.96 |
Skew
| -1.20 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Style Factor | 0.1967 | 0.0118 | 0.1849 |
| Size Factor | -0.1695 | -0.0500 | -0.1195 |
| Market Factor | 0.8148 | 1.0004 | -0.1857 |
| U.S. Tilt (Non U.S.) | 0.4688 | 0.3524 | 0.1164 |
Adjusted R2
| Portfolio | 0.40 |
| Benchmark | 1.00 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |