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 (14y 7m 23d)
Returns (annualized)
| Portfolio | 6.51% |
| Benchmark | 13.83% |
Risk (annualized)
| Portfolio | 14.19% |
| Benchmark | 17.28% |
Sharpe (annualized)
| Portfolio | 0.42 |
| Benchmark | 0.76 |
Excess Return (annualized)
| -7.33% |
Tracking Error (annualized)
| 20.15% |
Information Ratio
| -0.36 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 14.75% | 18.41% |
| Sortino Ratio | 0.40 | 0.71 |
| Calmar Ratio | 0.17 | 0.39 |
| Ulcer Index | 13.64 | 15.28 |
| Max Drawdown | 35.59% | 33.70% |
| VaR (99% Confidence) | $-3,299 | $-4,019 |
| VaR (99.9% Confidence) | $-4,383 | $-5,339 |
| Beta to Benchmark | 0.16 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 23.03 |
Skew
| 0.15 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Style Factor | -0.0967 | 0.0229 | -0.1196 |
| Size Factor | 0.0330 | -0.0523 | 0.0853 |
| Market Factor | 0.1438 | 0.9839 | -0.8401 |
| U.S. Tilt (Non U.S.) | -0.0007 | 0.4278 | -0.4286 |
Adjusted R2
| Portfolio | 0.04 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |