Vol Term Structure
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
This portfolio is listed on the Community Portfolios page.
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 (15y 4m 3d)
Returns (annualized)
| Portfolio | 6.54% |
| Benchmark | 14.19% |
Risk (annualized)
| Portfolio | 14.19% |
| Benchmark | 17.10% |
Sharpe (annualized)
| Portfolio | 0.41 |
| Benchmark | 0.77 |
Excess Return (annualized)
| -7.64% |
Tracking Error (annualized)
| 19.84% |
Information Ratio
| -0.39 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 14.81% | 18.20% |
| Sortino Ratio | 0.39 | 0.73 |
| Calmar Ratio | 0.16 | 0.39 |
| Ulcer Index | 13.73 | 15.30 |
| Max Drawdown | 35.59% | 33.70% |
| VaR (99% Confidence) | $-3,300 | $-3,978 |
| VaR (99.9% Confidence) | $-4,384 | $-5,284 |
| Beta to Benchmark | 0.17 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 22.12 |
Skew
| 0.11 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Style Factor | -0.1027 | 0.0215 | -0.1242 |
| Size Factor | 0.0410 | -0.0520 | 0.0930 |
| Market Factor | 0.1550 | 0.9845 | -0.8295 |
| U.S. Tilt (Non U.S.) | -0.0002 | 0.4248 | -0.4251 |
Adjusted R2
| Portfolio | 0.05 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |