Diversified Risk-Off Portfolio
Portfolio Specification
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Equal Weights |
Benchmark
This portfolio is listed on the Community Portfolios page.
Portfolio 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 (8y 10m 24d)
Returns (annualized)
| Portfolio | -1.30% |
| Benchmark | -7.07% |
Risk (annualized)
| Portfolio | 14.30% |
| Benchmark | 15.00% |
Sharpe (annualized)
| Portfolio | -0.19 |
| Benchmark | -0.58 |
Excess Return (annualized)
| 5.77% |
Tracking Error (annualized)
| 13.27% |
Information Ratio
| 0.44 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 13.72% | 13.67% |
| Sortino Ratio | -0.20 | -0.64 |
| Calmar Ratio | -0.08 | -0.17 |
| Ulcer Index | 13.61 | 11.55 |
| Max Drawdown | 34.29% | 52.36% |
| VaR (99% Confidence) | $-3,326 | $-3,487 |
| VaR (99.9% Confidence) | $-4,418 | $-4,632 |
| Beta to Benchmark | 0.56 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 13.29 |
Skew
| 0.30 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | -0.3037 | -0.4570 | 0.1533 |
| High Beta (Low Beta) | -0.3813 | -0.0561 | -0.3252 |
| Vol Factor | 0.1034 | 0.0627 | 0.0407 |
| Vol Term Structure | 0.3839 | 0.0280 | 0.3559 |
Adjusted R2
| Portfolio | 0.83 |
| Benchmark | 0.62 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |