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

Policy Report

Backtest Report

From to (8y 11d)

Returns (annualized)

Portfolio 4.32%
Benchmark 7.39%

Risk (annualized)

Portfolio 13.16%
Benchmark 11.27%

Sharpe (annualized)

Portfolio 0.21
Benchmark 0.48

Excess Return (annualized)

-3.07%

Tracking Error (annualized)

9.66%

Information Ratio

-0.32
Statistic Portfolio Benchmark
Downside Volatility 14.18% 12.16%
Sortino Ratio 0.19 0.45
Calmar Ratio 0.09 0.24
Ulcer Index 14.27 15.20
Max Drawdown 31.27% 22.16%
VaR (99% Confidence) $-3,061 $-2,620
VaR (99.9% Confidence) $-4,066 $-3,481
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

7.23

Skew

-0.66
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5101 0.5101
Style Factor 0.0519 0.0519
Size Factor 0.0571 0.0571
U.S. Tilt (Non U.S.) -0.1653 -0.1653
Vol Term Structure 0.0069 0.0069
Credit Factor 0.1354 0.1354
Duration Factor 1.1119 1.1119

Adjusted R2

Portfolio 0.77
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution