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 10m 10d)

Returns (annualized)

Portfolio 1.47%
Benchmark -6.51%

Risk (annualized)

Portfolio 14.53%
Benchmark 15.63%

Sharpe (annualized)

Portfolio 0.01
Benchmark -0.50

Excess Return (annualized)

7.97%

Tracking Error (annualized)

13.71%

Information Ratio

0.58
Statistic Portfolio Benchmark
Downside Volatility 13.78% 14.18%
Sortino Ratio 0.01 -0.55
Calmar Ratio 0.01 -0.15
Ulcer Index 13.83 11.91
Max Drawdown 25.83% 52.36%
VaR (99% Confidence) $-3,378 $-3,634
VaR (99.9% Confidence) $-4,487 $-4,827
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

14.03

Skew

0.34
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.2962 -0.2962
High Beta (Low Beta) -0.3688 -0.3688
Vol Factor 0.1040 0.1040
Vol Term Structure 0.3914 0.3914

Adjusted R2

Portfolio 0.82
Benchmark 0.63

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution