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.
Assets Report
Policy Report
Backtest Report
From to (6y 10m 11d)
Returns (annualized)
Portfolio | 0.74% |
---|---|
Benchmark | -8.86% |
Risk (annualized)
Portfolio | 14.01% |
---|---|
Benchmark | 14.76% |
Sharpe (annualized)
Portfolio | -0.02 |
---|---|
Benchmark | -0.69 |
Excess Return (annualized)
9.60% |
Tracking Error (annualized)
13.54% |
Risk Free Rate (annualized)
2.00% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
15.42 |
Skew
0.27 |
Factor Analysis
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Market Factor | -0.3162 | -0.3162 |
High Beta (Low Beta) | -0.3739 | -0.3739 |
Vol Factor | 0.0970 | 0.0970 |
Vol Term Structure | 0.3834 | 0.3834 |
Adjusted R2
Portfolio | 0.81 |
---|---|
Benchmark | 0.60 |
Intercept
Portfolio | 0.00 |
---|---|
Benchmark | -0.00 |