This Update provides an analysis of the performance of the consensus protection portfolio, previously constructed using Premialab Pure Factors® and options hedging overlays. The portfolio aimed to provide robust downside protection through diversified commodity risk premia, macro trend, short-term rates trend, intraday equity momentum, implied volatility, and realized volatility strategies.
With the first half of the year marked by significant market challenges, including declines in major indices and traditional diversifiers, the consensus protection portfolio underwent an out-of-sample test.
The results show promising performance contributions from short-term interest rate trend following and diversified multi-asset trend following strategies. However, detractors were observed in the intraday equity momentum and VIX protection strategies, which can be attributed to the specific market environment characterized by a gradual decline rather than sudden shocks. The report highlights the importance of tailoring strategies to specific market conditions and demonstrates the resilience of the consensus protection portfolio in navigating challenging market landscapes.