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 (7y 1m 2d)

Returns (annualized)

Portfolio 0.53%
Benchmark -8.50%

Risk (annualized)

Portfolio 13.86%
Benchmark 14.58%

Sharpe (annualized)

Portfolio -0.04
Benchmark -0.68

Excess Return (annualized)

9.03%

Tracking Error (annualized)

13.44%

Risk Free Rate (annualized)

2.10%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

15.66

Skew

0.28
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.3160 -0.3160
High Beta (Low Beta) -0.3715 -0.3715
Vol Factor 0.0968 0.0968
Vol Term Structure 0.3821 0.3821

Adjusted R2

Portfolio 0.81
Benchmark 0.59

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution