Diversified Risk-Off Portfolio

Portfolio Specification

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Weights

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 (7y 11m 29d)

Returns (annualized)

Portfolio 0.88%
Benchmark -6.98%

Risk (annualized)

Portfolio 14.51%
Benchmark 15.54%

Sharpe (annualized)

Portfolio -0.03
Benchmark -0.54

Excess Return (annualized)

7.86%

Tracking Error (annualized)

13.64%

Information Ratio

0.58
Statistic Portfolio Benchmark
Downside Volatility 13.81% 14.15%
Sortino Ratio -0.03 -0.59
Calmar Ratio -0.02 -0.16
Ulcer Index 13.82 11.86
Max Drawdown 25.83% 52.36%
VaR (99% Confidence) $-3,373 $-3,614
VaR (99.9% Confidence) $-4,481 $-4,801
Beta to Benchmark 0.55 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

13.92

Skew

0.32
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.2961 -0.2961
High Beta (Low Beta) -0.3697 -0.3697
Vol Factor 0.1041 0.1041
Vol Term Structure 0.3914 0.3914

Adjusted R2

Portfolio 0.83
Benchmark 0.63

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution