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 9m 3d)

Returns (annualized)

Portfolio 5.44%
Benchmark 13.67%

Risk (annualized)

Portfolio 14.26%
Benchmark 17.06%

Sharpe (annualized)

Portfolio 0.36
Benchmark 0.77

Excess Return (annualized)

-8.24%

Tracking Error (annualized)

20.20%

Information Ratio

-0.41
Statistic Portfolio Benchmark
Downside Volatility 14.71% 18.26%
Sortino Ratio 0.35 0.72
Calmar Ratio 0.14 0.39
Ulcer Index 13.55 15.27
Max Drawdown 35.59% 33.70%
VaR (99% Confidence) $-3,316 $-3,968
VaR (99.9% Confidence) $-4,405 $-5,271
Beta to Benchmark 0.15 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

23.86

Skew

0.20
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.1026 -0.1026
Size Factor 0.0313 0.0313
Market Factor 0.1337 0.1337
U.S. Tilt (Non U.S.) 0.0015 0.0015

Adjusted R2

Portfolio 0.04
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution