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 (14y 1m 15d)

Returns (annualized)

Portfolio 5.77%
Benchmark 13.84%

Risk (annualized)

Portfolio 14.20%
Benchmark 16.96%

Sharpe (annualized)

Portfolio 0.37
Benchmark 0.77

Excess Return (annualized)

-8.07%

Tracking Error (annualized)

20.05%

Information Ratio

-0.40
Statistic Portfolio Benchmark
Downside Volatility 14.69% 18.17%
Sortino Ratio 0.36 0.72
Calmar Ratio 0.15 0.39
Ulcer Index 13.58 15.29
Max Drawdown 35.59% 33.70%
VaR (99% Confidence) $-3,302 $-3,944
VaR (99.9% Confidence) $-4,386 $-5,239
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

23.67

Skew

0.19
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.1040 -0.1040
Size Factor 0.0340 0.0340
Market Factor 0.1357 0.1357
U.S. Tilt (Non U.S.) 0.0052 0.0052

Adjusted R2

Portfolio 0.04
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution