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.
Policy Report
Backtest Report
From to (14y 3m 12d)
Returns (annualized)
| Portfolio | 5.22% |
| Benchmark | 12.52% |
Risk (annualized)
| Portfolio | 14.27% |
| Benchmark | 17.37% |
Sharpe (annualized)
| Portfolio | 0.33 |
| Benchmark | 0.69 |
Excess Return (annualized)
| -7.30% |
Tracking Error (annualized)
| 20.28% |
Information Ratio
| -0.36 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 14.79% | 18.54% |
| Sortino Ratio | 0.32 | 0.65 |
| Calmar Ratio | 0.13 | 0.36 |
| Ulcer Index | 13.59 | 15.28 |
| Max Drawdown | 35.59% | 33.70% |
| VaR (99% Confidence) | $-3,319 | $-4,039 |
| VaR (99.9% Confidence) | $-4,409 | $-5,365 |
| 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
| 23.04 |
Skew
| 0.16 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Style Factor | -0.0959 | -0.0959 |
| Size Factor | 0.0288 | 0.0288 |
| Market Factor | 0.1431 | 0.1431 |
| U.S. Tilt (Non U.S.) | -0.0014 | -0.0014 |
Adjusted R2
| Portfolio | 0.04 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |