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 2d)
Returns (annualized)
| Portfolio | 0.95% |
|---|---|
| Benchmark | -8.73% |
Risk (annualized)
| Portfolio | 14.03% |
|---|---|
| Benchmark | 14.78% |
Sharpe (annualized)
| Portfolio | 0.00 |
|---|---|
| Benchmark | -0.68 |
Excess Return (annualized)
| 9.68% |
Tracking Error (annualized)
| 13.56% |
Risk Free Rate (annualized)
| 1.99% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 15.41 |
Skew
| 0.27 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Market Factor | -0.3164 | -0.3164 |
| High Beta (Low Beta) | -0.3743 | -0.3743 |
| Vol Factor | 0.0969 | 0.0969 |
| Vol Term Structure | 0.3832 | 0.3832 |
Adjusted R2
| Portfolio | 0.81 |
|---|---|
| Benchmark | 0.60 |
Intercept
| Portfolio | 0.00 |
|---|---|
| Benchmark | -0.00 |