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 11m 14d)
Returns (annualized)
| Portfolio | 5.36% |
| Benchmark | 13.65% |
Risk (annualized)
| Portfolio | 14.23% |
| Benchmark | 17.00% |
Sharpe (annualized)
| Portfolio | 0.35 |
| Benchmark | 0.76 |
Excess Return (annualized)
| -8.28% |
Tracking Error (annualized)
| 20.11% |
Information Ratio
| -0.41 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 14.70% | 18.22% |
| Sortino Ratio | 0.34 | 0.71 |
| Calmar Ratio | 0.14 | 0.39 |
| Ulcer Index | 13.56 | 15.28 |
| Max Drawdown | 35.59% | 33.70% |
| VaR (99% Confidence) | $-3,309 | $-3,954 |
| VaR (99.9% Confidence) | $-4,396 | $-5,253 |
| 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
| 23.73 |
Skew
| 0.19 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Style Factor | -0.1058 | -0.1058 |
| Size Factor | 0.0331 | 0.0331 |
| Market Factor | 0.1351 | 0.1351 |
| U.S. Tilt (Non U.S.) | 0.0032 | 0.0032 |
Adjusted R2
| Portfolio | 0.04 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |