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 1m 15d)
Returns (annualized)
| Portfolio | -1.07% |
| Benchmark | -7.16% |
Risk (annualized)
| Portfolio | 14.28% |
| Benchmark | 14.84% |
Sharpe (annualized)
| Portfolio | -0.18 |
| Benchmark | -0.60 |
Excess Return (annualized)
| 6.09% |
Tracking Error (annualized)
| 13.25% |
Information Ratio
| 0.46 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 13.70% | 13.55% |
| Sortino Ratio | -0.19 | -0.65 |
| Calmar Ratio | -0.07 | -0.17 |
| Ulcer Index | 13.54 | 11.47 |
| Max Drawdown | 37.04% | 52.36% |
| VaR (99% Confidence) | $-3,321 | $-3,452 |
| VaR (99.9% Confidence) | $-4,412 | $-4,586 |
| 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
| 13.02 |
Skew
| 0.29 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | -0.3027 | -0.4456 | 0.1428 |
| High Beta (Low Beta) | -0.3770 | -0.0407 | -0.3363 |
| Vol Factor | 0.1038 | 0.0646 | 0.0393 |
| Vol Term Structure | 0.3832 | 0.0337 | 0.3495 |
Adjusted R2
| Portfolio | 0.83 |
| Benchmark | 0.62 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |