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 (7y 10m 20d)

Returns (annualized)

Portfolio 4.02%
Benchmark 6.76%

Risk (annualized)

Portfolio 13.24%
Benchmark 11.32%

Sharpe (annualized)

Portfolio 0.19
Benchmark 0.43

Excess Return (annualized)

-2.74%

Tracking Error (annualized)

9.67%

Information Ratio

-0.28
Statistic Portfolio Benchmark
Downside Volatility 14.28% 12.22%
Sortino Ratio 0.18 0.40
Calmar Ratio 0.08 0.22
Ulcer Index 14.28 15.19
Max Drawdown 31.27% 22.16%
VaR (99% Confidence) $-3,079 $-2,633
VaR (99.9% Confidence) $-4,090 $-3,497
Beta to Benchmark 0.82 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

7.16

Skew

-0.65
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5133 0.5133
Style Factor 0.0522 0.0522
Size Factor 0.0574 0.0574
U.S. Tilt (Non U.S.) -0.1629 -0.1629
Vol Term Structure 0.0093 0.0093
Credit Factor 0.1334 0.1334
Duration Factor 1.1202 1.1202

Adjusted R2

Portfolio 0.78
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution