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 9m 14d)

Returns (annualized)

Portfolio 1.33%
Benchmark -7.51%

Risk (annualized)

Portfolio 14.17%
Benchmark 14.67%

Sharpe (annualized)

Portfolio 0.00
Benchmark -0.62

Excess Return (annualized)

8.84%

Tracking Error (annualized)

13.26%

Information Ratio

0.67
Statistic Portfolio Benchmark
Downside Volatility 13.50% 13.54%
Sortino Ratio 0.00 -0.67
Calmar Ratio 0.00 -0.17
Ulcer Index 13.84 11.93
Max Drawdown 25.83% 52.36%
VaR (99% Confidence) $-3,295 $-3,412
VaR (99.9% Confidence) $-4,378 $-4,532
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

14.54

Skew

0.29
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.3015 -0.3015
High Beta (Low Beta) -0.3664 -0.3664
Vol Factor 0.1026 0.1026
Vol Term Structure 0.3876 0.3876

Adjusted R2

Portfolio 0.82
Benchmark 0.61

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution