Vol Term Structure

Portfolio Specification

Policy

Rebalancing Interval Daily
Weights Algorithm Constant Weights

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 (14y 4m 17d)

Returns (annualized)

Portfolio 5.35%
Benchmark 13.24%

Risk (annualized)

Portfolio 14.24%
Benchmark 17.38%

Sharpe (annualized)

Portfolio 0.34
Benchmark 0.72

Excess Return (annualized)

-7.89%

Tracking Error (annualized)

20.30%

Information Ratio

-0.39
Statistic Portfolio Benchmark
Downside Volatility 14.77% 18.55%
Sortino Ratio 0.33 0.68
Calmar Ratio 0.14 0.37
Ulcer Index 13.60 15.27
Max Drawdown 35.59% 33.70%
VaR (99% Confidence) $-3,311 $-4,043
VaR (99.9% Confidence) $-4,398 $-5,371
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

23.12

Skew

0.16
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.0928 -0.0928
Size Factor 0.0288 0.0288
Market Factor 0.1418 0.1418
U.S. Tilt (Non U.S.) -0.0052 -0.0052

Adjusted R2

Portfolio 0.04
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution