Diversified Risk-Off Portfolio
Specification
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Equal Weights |
Benchmark
| Cambria Tail Risk ETF (TAIL) |
Description
The Diversified Risk-Off Portfolio is intended as a risk mitigating sleeve in a broader portfolio. The goal of the portfolio is to outperform a long-volatility benchmark over a full market cycle while still delivering similar protection in times of crisis. This portfolio is long mid-term Vix futures while also being short the front-month Vix futures to reduce carry costs. Additionally, a long low beta/short high beta fund adds short delta exposure to protect over longer drawdowns.
Policy Report
Backtest Report
From to (6y 10m 9d)
Returns (annualized)
| Portfolio | 0.76% |
|---|---|
| Benchmark | -8.79% |
Risk (annualized)
| Portfolio | 14.02% |
|---|---|
| Benchmark | 14.77% |
Sharpe (annualized)
| Portfolio | -0.02 |
|---|---|
| Benchmark | -0.68 |
Excess Return (annualized)
| 9.56% |
Tracking Error (annualized)
| 13.55% |
Risk Free Rate (annualized)
| 2.00% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 15.40 |
Skew
| 0.27 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Market Factor | -0.3162 | -0.3162 |
| High Beta (Low Beta) | -0.3739 | -0.3739 |
| Vol Factor | 0.0970 | 0.0970 |
| Vol Term Structure | 0.3837 | 0.3837 |
Adjusted R2
| Portfolio | 0.81 |
|---|---|
| Benchmark | 0.60 |
Intercept
| Portfolio | 0.00 |
|---|---|
| Benchmark | -0.00 |