Risk Parity

Specification

Policy

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

Assets

Benchmark

Policy Report

Backtest Report

From 2017-06-16 to 2024-04-18 (6y 10m 2d)

Returns (annualized)

Portfolio	3.35%
Benchmark	6.10%

Risk (annualized)

Portfolio	13.32%
Benchmark	11.38%

Sharpe (annualized)

Portfolio	0.17
Benchmark	0.40

Excess Return (annualized)

-2.75%

Tracking Error (annualized)

9.91%

Risk Free Rate (annualized)

1.99%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

7.52

Skew

-0.72

Data Table

Factor Coefficients
Factor	Portfolio	Benchmark
Market Factor	0.5125	0.5125
Style Factor	0.0670	0.0670
Size Factor	0.0555	0.0555
U.S. Tilt (Non U.S.)	-0.1468	-0.1468
Vol Term Structure	0.0059	0.0059
Credit Factor	0.1253	0.1253
Duration Factor	1.1767	1.1767

Adjusted R²

Portfolio	0.79
Benchmark	0.99

Intercept

Portfolio	0.00
Benchmark	0.00

Factor Attribution