Diversified Risk-Off Portfolio
Specification
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Equal Weights |
Benchmark
| Cambria Tail Risk ETF (TAIL) |
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 6m 5d)
Returns (annualized)
| Portfolio | 0.76% |
| Benchmark | -8.27% |
Risk (annualized)
| Portfolio | 14.10% |
| Benchmark | 14.63% |
Sharpe (annualized)
| Portfolio | -0.03 |
| Benchmark | -0.67 |
Excess Return (annualized)
| 9.03% |
Tracking Error (annualized)
| 13.34% |
Information Ratio
| 0.68 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 13.45% | 13.50% |
| Sortino Ratio | -0.04 | -0.72 |
| Calmar Ratio | -0.02 | -0.19 |
| Ulcer Index | 13.89 | 12.05 |
| Max Drawdown | 25.83% | 51.27% |
| VaR (99% Confidence) | $-3,278 | $-3,403 |
| VaR (99.9% Confidence) | $-4,355 | $-4,520 |
| 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
| 15.38 |
Skew
| 0.30 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Market Factor | -0.3020 | -0.3020 |
| High Beta (Low Beta) | -0.3653 | -0.3653 |
| Vol Factor | 0.1021 | 0.1021 |
| Vol Term Structure | 0.3887 | 0.3887 |
Adjusted R2
| Portfolio | 0.81 |
| Benchmark | 0.60 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |