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 20d)
Returns (annualized)
| Portfolio | 1.82% |
| Benchmark | -6.77% |
Risk (annualized)
| Portfolio | 14.26% |
| Benchmark | 14.88% |
Sharpe (annualized)
| Portfolio | 0.04 |
| Benchmark | -0.55 |
Excess Return (annualized)
| 8.59% |
Tracking Error (annualized)
| 13.28% |
Information Ratio
| 0.65 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 13.50% | 13.54% |
| Sortino Ratio | 0.04 | -0.61 |
| Calmar Ratio | 0.02 | -0.16 |
| Ulcer Index | 13.84 | 11.93 |
| Max Drawdown | 25.83% | 52.36% |
| VaR (99% Confidence) | $-3,317 | $-3,460 |
| VaR (99.9% Confidence) | $-4,407 | $-4,597 |
| 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
| 14.43 |
Skew
| 0.35 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Market Factor | -0.3015 | -0.3015 |
| High Beta (Low Beta) | -0.3668 | -0.3668 |
| Vol Factor | 0.1027 | 0.1027 |
| Vol Term Structure | 0.3874 | 0.3874 |
Adjusted R2
| Portfolio | 0.82 |
| Benchmark | 0.61 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |