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 4m 2d)
Returns (annualized)
| Portfolio | -0.08% |
| Benchmark | -6.56% |
Risk (annualized)
| Portfolio | 14.38% |
| Benchmark | 15.30% |
Sharpe (annualized)
| Portfolio | -0.10 |
| Benchmark | -0.52 |
Excess Return (annualized)
| 6.48% |
Tracking Error (annualized)
| 13.50% |
Information Ratio
| 0.48 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 13.77% | 13.94% |
| Sortino Ratio | -0.11 | -0.58 |
| Calmar Ratio | -0.06 | -0.15 |
| Ulcer Index | 13.75 | 11.74 |
| Max Drawdown | 26.35% | 52.36% |
| VaR (99% Confidence) | $-3,344 | $-3,557 |
| VaR (99.9% Confidence) | $-4,442 | $-4,725 |
| Beta to Benchmark | 0.55 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 13.86 |
Skew
| 0.31 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | -0.2985 | -0.4689 | 0.1703 |
| High Beta (Low Beta) | -0.3743 | -0.0609 | -0.3133 |
| Vol Factor | 0.1039 | 0.0610 | 0.0429 |
| Vol Term Structure | 0.3870 | 0.0240 | 0.3630 |
Adjusted R2
| Portfolio | 0.82 |
| Benchmark | 0.62 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |