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 7m 30d)

Returns (annualized)

Portfolio 0.29%
Benchmark -8.51%

Risk (annualized)

Portfolio 14.11%
Benchmark 14.55%

Sharpe (annualized)

Portfolio -0.07
Benchmark -0.69

Excess Return (annualized)

8.79%

Tracking Error (annualized)

13.30%

Information Ratio

0.66
Statistic Portfolio Benchmark
Downside Volatility 13.45% 13.44%
Sortino Ratio -0.07 -0.75
Calmar Ratio -0.04 -0.19
Ulcer Index 13.85 11.98
Max Drawdown 25.83% 52.36%
VaR (99% Confidence) $-3,281 $-3,383
VaR (99.9% Confidence) $-4,359 $-4,494
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

15.06

Skew

0.31
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.3014 -0.3014
High Beta (Low Beta) -0.3655 -0.3655
Vol Factor 0.1028 0.1028
Vol Term Structure 0.3882 0.3882

Adjusted R2

Portfolio 0.81
Benchmark 0.60

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution