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 11m 15d)
Returns (annualized)
| Portfolio | -1.46% |
| Benchmark | -7.23% |
Risk (annualized)
| Portfolio | 14.28% |
| Benchmark | 14.95% |
Sharpe (annualized)
| Portfolio | -0.21 |
| Benchmark | -0.59 |
Excess Return (annualized)
| 5.77% |
Tracking Error (annualized)
| 13.28% |
Information Ratio
| 0.43 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 13.71% | 13.62% |
| Sortino Ratio | -0.21 | -0.65 |
| Calmar Ratio | -0.08 | -0.17 |
| Ulcer Index | 13.59 | 11.53 |
| Max Drawdown | 34.78% | 52.36% |
| VaR (99% Confidence) | $-3,322 | $-3,477 |
| VaR (99.9% Confidence) | $-4,413 | $-4,619 |
| 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
| 13.27 |
Skew
| 0.30 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | -0.3043 | -0.4533 | 0.1490 |
| High Beta (Low Beta) | -0.3821 | -0.0525 | -0.3296 |
| Vol Factor | 0.1033 | 0.0634 | 0.0399 |
| Vol Term Structure | 0.3838 | 0.0288 | 0.3550 |
Adjusted R2
| Portfolio | 0.83 |
| Benchmark | 0.62 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |