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 | 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 |