Diversified Risk-Off Portfolio
Portfolio Specification
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Equal Weights |
Benchmark
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 (7y 11m 29d)
Returns (annualized)
| Portfolio | 0.88% |
| Benchmark | -6.98% |
Risk (annualized)
| Portfolio | 14.51% |
| Benchmark | 15.54% |
Sharpe (annualized)
| Portfolio | -0.03 |
| Benchmark | -0.54 |
Excess Return (annualized)
| 7.86% |
Tracking Error (annualized)
| 13.64% |
Information Ratio
| 0.58 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 13.81% | 14.15% |
| Sortino Ratio | -0.03 | -0.59 |
| Calmar Ratio | -0.02 | -0.16 |
| Ulcer Index | 13.82 | 11.86 |
| Max Drawdown | 25.83% | 52.36% |
| VaR (99% Confidence) | $-3,373 | $-3,614 |
| VaR (99.9% Confidence) | $-4,481 | $-4,801 |
| 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
| 13.92 |
Skew
| 0.32 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Market Factor | -0.2961 | -0.2961 |
| High Beta (Low Beta) | -0.3697 | -0.3697 |
| Vol Factor | 0.1041 | 0.1041 |
| Vol Term Structure | 0.3914 | 0.3914 |
Adjusted R2
| Portfolio | 0.83 |
| Benchmark | 0.63 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |