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 (9y 26d)
Returns (annualized)
| Portfolio | -1.58% |
| Benchmark | -7.26% |
Risk (annualized)
| Portfolio | 14.28% |
| Benchmark | 14.88% |
Sharpe (annualized)
| Portfolio | -0.22 |
| Benchmark | -0.60 |
Excess Return (annualized)
| 5.68% |
Tracking Error (annualized)
| 13.26% |
Information Ratio
| 0.43 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 13.72% | 13.57% |
| Sortino Ratio | -0.22 | -0.66 |
| Calmar Ratio | -0.08 | -0.17 |
| Ulcer Index | 13.56 | 11.49 |
| Max Drawdown | 37.04% | 52.36% |
| VaR (99% Confidence) | $-3,322 | $-3,460 |
| VaR (99.9% Confidence) | $-4,413 | $-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
| 13.10 |
Skew
| 0.29 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | -0.3026 | -0.4468 | 0.1442 |
| High Beta (Low Beta) | -0.3769 | -0.0437 | -0.3333 |
| Vol Factor | 0.1038 | 0.0644 | 0.0394 |
| Vol Term Structure | 0.3840 | 0.0325 | 0.3515 |
Adjusted R2
| Portfolio | 0.83 |
| Benchmark | 0.62 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |