Risk Parity

Portfolio Specification

Assets

Global Equity
Fixed Income
Real Assets

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Risk Contribution
Weights Algorithm Look-back 1 Year
Weights Updating Interval Quarterly

Benchmark

Simple 60/40

This portfolio is listed on the Community Portfolios page.

Policy Report

Backtest Report

From to (8y 3m 28d)

Returns (annualized)

Portfolio 5.26%
Benchmark 7.85%

Risk (annualized)

Portfolio 13.02%
Benchmark 11.13%

Sharpe (annualized)

Portfolio 0.27
Benchmark 0.52

Excess Return (annualized)

-2.59%

Tracking Error (annualized)

9.56%

Information Ratio

-0.27
Statistic Portfolio Benchmark
Downside Volatility 13.99% 12.03%
Sortino Ratio 0.26 0.48
Calmar Ratio 0.11 0.26
Ulcer Index 14.26 15.22
Max Drawdown 31.27% 22.16%
VaR (99% Confidence) $-3,027 $-2,588
VaR (99.9% Confidence) $-4,021 $-3,438
Beta to Benchmark 0.81 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

7.34

Skew

-0.66
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5088 0.6002 -0.0914
Style Factor 0.0524 -0.0064 0.0588
Size Factor 0.0529 0.0168 0.0361
U.S. Tilt (Non U.S.) -0.1635 -0.0138 -0.1497
Vol Term Structure 0.0077 0.0003 0.0074
Credit Factor 0.1366 0.0852 0.0514
Duration Factor 1.1092 0.3117 0.7975

Adjusted R2

Portfolio 0.77
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution