Vol Term Structure
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
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 4m 1d)
Returns (annualized)
| Portfolio | 5.18% |
| Benchmark | 12.95% |
Risk (annualized)
| Portfolio | 14.25% |
| Benchmark | 17.38% |
Sharpe (annualized)
| Portfolio | 0.33 |
| Benchmark | 0.71 |
Excess Return (annualized)
| -7.77% |
Tracking Error (annualized)
| 20.29% |
Information Ratio
| -0.38 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 14.77% | 18.55% |
| Sortino Ratio | 0.32 | 0.67 |
| Calmar Ratio | 0.13 | 0.37 |
| Ulcer Index | 13.60 | 15.27 |
| Max Drawdown | 35.59% | 33.70% |
| VaR (99% Confidence) | $-3,314 | $-4,043 |
| VaR (99.9% Confidence) | $-4,403 | $-5,371 |
| 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
| 23.10 |
Skew
| 0.16 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Style Factor | -0.0946 | -0.0946 |
| Size Factor | 0.0289 | 0.0289 |
| Market Factor | 0.1422 | 0.1422 |
| U.S. Tilt (Non U.S.) | -0.0032 | -0.0032 |
Adjusted R2
| Portfolio | 0.04 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |