Risk Parity

5f456627fedae83924931070

Asset Report

Selected Assets

Asset ID Name Earliest
Return Date
Latest
Return Date
Type
5f49f108de1ff523f34f9e61 Global Equity 2016-06-16 2023-01-27 Portfolio
5f49f45bde1ff523f34f9e66 Fixed Income 2009-04-17 2023-01-27 Portfolio
5f8a40c8a1593da3042fd0de Real Assets 2014-11-10 2023-01-27 Portfolio
Benchmark
5f456687fedae83924931071 Simple 60/40 2008-03-31 2023-01-27 Portfolio

Periodic Metrics

1 Day 1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
Global Equity 1.16 4.05 12.09 18.29 -9.69 3.85 3.18 9.41 2016-06-16
Fixed Income -1.52 -2.52 6.00 14.00 -38.02 -16.98 -5.47 -1.62 1.68 2009-04-17
Real Assets -0.58 0.17 2.25 1.65 7.83 11.32 6.04 2.39 2014-11-10
Benchmark 0.38 1.64 4.19 7.18 -4.52 3.15 3.35 5.03 4.50 2008-03-31
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
Global Equity 0.68 1.20 1.64 27.65 30.75 26.40 23.82 2016-06-16
Fixed Income 1.51 2.03 2.01 32.29 29.72 25.74 23.51 25.52 2009-04-17
Real Assets 0.35 0.50 0.73 14.19 14.22 12.35 12.42 2014-11-10
Benchmark 0.26 0.51 0.71 12.15 12.20 10.44 8.75 11.55 2008-03-31
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
Global Equity -0.75 0.61 0.46 0.96 2016-06-16
Fixed Income -4.11 -1.48 -0.36 -0.03 0.31 2009-04-17
Real Assets 0.71 1.00 0.54 0.22 2014-11-10
Benchmark -0.43 0.28 0.29 0.44 0.40 2008-03-31

Correlation Matrix

Documentation

Policy Report

Expected Risk

14.51%

Unique Bets

2.18

Back Test Report

Key Statistics

Returns

Portfolio
3.79%
Benchmark
4.28%

Risk

Portfolio
11.85%
Benchmark
10.45%

Sharpe Ratio

Portfolio
0.07
Benchmark
0.11

Excess Returns

-0.49%

Tracking Error

9.45%

Risk Free Rate

3.61%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

8.37

Skew

-0.98

Excess Kurtosis

11.32

Excess Skew

-0.38

Documentation

Factor Analysis

Factor Coefficients

Intercept

0

Adjusted R2

0.79

Documentation

Factor Attribution

Documentation

Report Calculation Metrics

The report was run on 2023-01-30 and took 22.010660864s to complete.