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 2m 26d)

Returns (annualized)

Portfolio 5.14%
Benchmark 7.85%

Risk (annualized)

Portfolio 13.06%
Benchmark 11.17%

Sharpe (annualized)

Portfolio 0.27
Benchmark 0.52

Excess Return (annualized)

-2.71%

Tracking Error (annualized)

9.59%

Information Ratio

-0.28
Statistic Portfolio Benchmark
Downside Volatility 14.04% 12.06%
Sortino Ratio 0.25 0.48
Calmar Ratio 0.11 0.26
Ulcer Index 14.25 15.21
Max Drawdown 31.27% 22.16%
VaR (99% Confidence) $-3,038 $-2,597
VaR (99.9% Confidence) $-4,035 $-3,450
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

7.30

Skew

-0.66
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5085 0.6002 -0.0917
Style Factor 0.0530 -0.0063 0.0593
Size Factor 0.0546 0.0170 0.0376
U.S. Tilt (Non U.S.) -0.1631 -0.0139 -0.1492
Vol Term Structure 0.0076 0.0003 0.0073
Credit Factor 0.1368 0.0852 0.0516
Duration Factor 1.1099 0.3118 0.7981

Adjusted R2

Portfolio 0.77
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution