Diversified Risk-Off Portfolio

Portfolio Specification

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Weights

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 2m 14d)

Returns (annualized)

Portfolio 0.14%
Benchmark -6.95%

Risk (annualized)

Portfolio 14.44%
Benchmark 15.39%

Sharpe (annualized)

Portfolio -0.08
Benchmark -0.55

Excess Return (annualized)

7.09%

Tracking Error (annualized)

13.56%

Information Ratio

0.52
Statistic Portfolio Benchmark
Downside Volatility 13.83% 14.03%
Sortino Ratio -0.09 -0.60
Calmar Ratio -0.05 -0.16
Ulcer Index 13.78 11.78
Max Drawdown 25.83% 52.36%
VaR (99% Confidence) $-3,359 $-3,578
VaR (99.9% Confidence) $-4,462 $-4,753
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

13.81

Skew

0.31
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor -0.2980 -0.4717 0.1737
High Beta (Low Beta) -0.3736 -0.0633 -0.3103
Vol Factor 0.1041 0.0606 0.0435
Vol Term Structure 0.3882 0.0241 0.3641

Adjusted R2

Portfolio 0.82
Benchmark 0.62

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution