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 (13y 1m 25d )

Returns (annualized)

Portfolio 6.08%
Benchmark 13.30%

Risk (annualized)

Portfolio 14.17%
Benchmark 17.23%

Sharpe (annualized)

Portfolio 0.41
Benchmark 0.75

Excess Return (annualized)

-7.22%

Tracking Error (annualized)

20.37%

Risk Free Rate (annualized)

1.05%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

25.43

Skew

0.30
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.1050 -0.1050
Size Factor 0.0280 0.0280
Market Factor 0.1263 0.1263
U.S. Tilt (Non U.S.) -0.0029 -0.0029

Adjusted R2

Portfolio 0.03
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution