Diversified Risk Off Portfolio

63de4c8dc9aa1c74f23cef8e

Asset Report

Selected Assets

Asset ID Name Earliest
Return Date
Latest
Return Date
Type
6123fa9904686ce9b73ebfbb Dynamic Vol 2011-10-05 2023-05-24 Portfolio
BTAL AGF U.S. Market Neutral Anti-Beta Fund 2011-09-14 2023-05-24 ETF
PFIX Simplify Interest Rate Hedge ETF 2021-05-12 2023-05-24 ETF
Benchmark
TAIL Cambria Tail Risk ETF 2017-06-14 2023-05-24 ETF

Periodic Metrics

1 Day 1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
Dynamic Vol -0.68 -1.44 -0.69 2.65 -8.39 -1.16 10.43 0.75 -1.68 2011-10-05
BTAL 0.09 -2.32 -2.63 1.69 0.21 -6.49 1.97 -0.31 -1.37 2011-09-14
PFIX -0.46 5.16 6.44 4.83 28.65 17.17 2021-05-12
Benchmark 0.70 -1.01 -1.07 -0.69 -14.43 -12.40 -5.82 -7.31 2017-06-14
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
Dynamic Vol 0.44 0.55 0.81 10.78 12.07 19.63 16.92 16.30 2011-10-05
BTAL 0.81 0.67 0.82 19.24 19.45 17.06 15.07 15.39 2011-09-14
PFIX 1.06 2.17 2.29 46.21 39.91 2021-05-12
Benchmark 0.50 0.88 1.06 16.03 13.12 15.07 14.78 2017-06-14
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
Dynamic Vol -0.82 -0.11 0.97 0.10 -0.13 2011-10-05
BTAL 0.08 -0.56 0.21 -0.01 -0.11 2011-09-14
PFIX 3.03 1.96 2021-05-12
Benchmark -1.41 -1.22 -0.54 -0.68 2017-06-14

Correlation Matrix

Dynamic Vol BTAL PFIX
Dynamic Vol 1 0.47 0.05
BTAL 0.47 1 0.1
PFIX 0.05 0.1 1
Documentation

Policy Report

Expected Risk

12.11%

Unique Bets

5.1

Back Test Report

Key Statistics

Returns

Portfolio
5.2%
Benchmark
-10.25%

Risk

Portfolio
12.48%
Benchmark
14.93%

Sharpe Ratio

Portfolio
0.18
Benchmark
-0.89

Excess Returns

15.45%

Tracking Error

15.29%

Risk Free Rate

3.64%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

1.92

Skew

0.08

Excess Kurtosis

1

Excess Skew

-0.1

Documentation

Factor Analysis

Factor Coefficients

Intercept

0.0001

Adjusted R2

0.62

Documentation

Factor Attribution

Documentation