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 4d)
Returns (annualized)
| Portfolio | 6.81% |
| Benchmark | 14.03% |
Risk (annualized)
| Portfolio | 14.14% |
| Benchmark | 17.16% |
Sharpe (annualized)
| Portfolio | 0.43 |
| Benchmark | 0.77 |
Excess Return (annualized)
| -7.22% |
Tracking Error (annualized)
| 19.96% |
Information Ratio
| -0.36 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 14.74% | 18.30% |
| Sortino Ratio | 0.42 | 0.72 |
| Calmar Ratio | 0.17 | 0.39 |
| Ulcer Index | 13.69 | 15.29 |
| Max Drawdown | 35.59% | 33.70% |
| VaR (99% Confidence) | $-3,289 | $-3,991 |
| VaR (99.9% Confidence) | $-4,369 | $-5,301 |
| 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
| 22.82 |
Skew
| 0.12 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Style Factor | -0.0983 | 0.0227 | -0.1210 |
| Size Factor | 0.0363 | -0.0523 | 0.0886 |
| Market Factor | 0.1478 | 0.9841 | -0.8363 |
| U.S. Tilt (Non U.S.) | 0.0033 | 0.4271 | -0.4239 |
Adjusted R2
| Portfolio | 0.04 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |