Diversified Risk-Off Portfolio
Portfolio Specification
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Equal Weights |
Benchmark
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 11m)
Returns (annualized)
| Portfolio | 0.63% |
| Benchmark | -7.09% |
Risk (annualized)
| Portfolio | 14.55% |
| Benchmark | 15.60% |
Sharpe (annualized)
| Portfolio | -0.04 |
| Benchmark | -0.54 |
Excess Return (annualized)
| 7.72% |
Tracking Error (annualized)
| 13.68% |
Information Ratio
| 0.56 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 13.85% | 14.19% |
| Sortino Ratio | -0.05 | -0.60 |
| Calmar Ratio | -0.02 | -0.16 |
| Ulcer Index | 13.83 | 11.89 |
| Max Drawdown | 25.83% | 52.36% |
| VaR (99% Confidence) | $-3,382 | $-3,629 |
| VaR (99.9% Confidence) | $-4,493 | $-4,820 |
| 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
| 13.91 |
Skew
| 0.32 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Market Factor | -0.2958 | -0.2958 |
| High Beta (Low Beta) | -0.3689 | -0.3689 |
| Vol Factor | 0.1041 | 0.1041 |
| Vol Term Structure | 0.3914 | 0.3914 |
Adjusted R2
| Portfolio | 0.83 |
| Benchmark | 0.63 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |