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 1m 18d)

Returns (annualized)

Portfolio 0.39%
Benchmark -6.84%

Risk (annualized)

Portfolio 14.45%
Benchmark 15.45%

Sharpe (annualized)

Portfolio -0.07
Benchmark -0.54

Excess Return (annualized)

7.23%

Tracking Error (annualized)

13.57%

Information Ratio

0.53
Statistic Portfolio Benchmark
Downside Volatility 13.79% 14.07%
Sortino Ratio -0.07 -0.59
Calmar Ratio -0.04 -0.16
Ulcer Index 13.79 11.81
Max Drawdown 25.83% 52.36%
VaR (99% Confidence) $-3,360 $-3,592
VaR (99.9% Confidence) $-4,463 $-4,772
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

13.92

Skew

0.32
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.2973 -0.2973
High Beta (Low Beta) -0.3707 -0.3707
Vol Factor 0.1040 0.1040
Vol Term Structure 0.3898 0.3898

Adjusted R2

Portfolio 0.82
Benchmark 0.62

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution