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 (6y 8m 16d )

Returns (annualized)

Portfolio 1.38%
Benchmark -8.60%

Risk (annualized)

Portfolio 14.51%
Benchmark 14.86%

Sharpe (annualized)

Portfolio 0.04
Benchmark -0.66

Excess Return (annualized)

9.98%

Tracking Error (annualized)

13.59%

Risk Free Rate (annualized)

1.93%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

17.26

Skew

0.58
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.3329 -0.3329
High Beta (Low Beta) -0.3643 -0.3643
Vol Factor 0.0987 0.0987
Vol Term Structure 0.3949 0.3949

Adjusted R2

Portfolio 0.81
Benchmark 0.60

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution