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 6m 20d)
Returns (annualized)
Portfolio | 5.92% |
Benchmark | 13.35% |
Risk (annualized)
Portfolio | 14.12% |
Benchmark | 17.08% |
Sharpe (annualized)
Portfolio | 0.39 |
Benchmark | 0.75 |
Excess Return (annualized)
-7.43% |
Tracking Error (annualized)
20.14% |
Risk Free Rate (annualized)
1.17% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
24.94 |
Skew
0.27 |
Factor Analysis
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Style Factor | -0.1043 | -0.1043 |
Size Factor | 0.0281 | 0.0281 |
Market Factor | 0.1328 | 0.1328 |
U.S. Tilt (Non U.S.) | 0.0045 | 0.0045 |
Adjusted R2
Portfolio | 0.04 |
Benchmark | 0.99 |
Intercept
Portfolio | 0.00 |
Benchmark | 0.00 |