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 (8y 8m 20d)
Returns (annualized)
| Portfolio | -0.24% |
| Benchmark | -6.44% |
Risk (annualized)
| Portfolio | 14.30% |
| Benchmark | 15.06% |
Sharpe (annualized)
| Portfolio | -0.12 |
| Benchmark | -0.53 |
Excess Return (annualized)
| 6.19% |
Tracking Error (annualized)
| 13.33% |
Information Ratio
| 0.46 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 13.69% | 13.71% |
| Sortino Ratio | -0.12 | -0.58 |
| Calmar Ratio | -0.06 | -0.15 |
| Ulcer Index | 13.66 | 11.61 |
| Max Drawdown | 29.99% | 52.36% |
| VaR (99% Confidence) | $-3,326 | $-3,502 |
| VaR (99.9% Confidence) | $-4,418 | $-4,652 |
| 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
| 13.54 |
Skew
| 0.30 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | -0.3005 | -0.4634 | 0.1629 |
| High Beta (Low Beta) | -0.3797 | -0.0582 | -0.3215 |
| Vol Factor | 0.1040 | 0.0617 | 0.0423 |
| Vol Term Structure | 0.3846 | 0.0267 | 0.3579 |
Adjusted R2
| Portfolio | 0.82 |
| Benchmark | 0.62 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |