Risk Parity

5f456627fedae83924931070

Tells algorithm how often to re-run to determine the latest optimal policy settings.

Tells the algorithm how often to rebalance to the policy weights. In between rebalancing, asset weights can change due to return drift.

Tells the back test what factors should be used to help explain portfolio performance.

Set the start and end times for the back test.

If the "Start Date" input is empty, the back test will start on the least recent date possible.

If the "End Date" input is empty, the back test will end on the most recent date possible.

Clear both date input boxes to get the longest possible back-test.

Back Test Report

Key Statistics

Returns

Portfolio
3.79%
Benchmark
4.28%

Risk

Portfolio
11.85%
Benchmark
10.45%

Sharpe Ratio

Portfolio
0.07
Benchmark
0.11

Excess Returns

-0.49%

Tracking Error

9.45%

Risk Free Rate

3.61%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

8.37

Skew

-0.98

Excess Kurtosis

11.32

Excess Skew

-0.38

Documentation

Factor Analysis

Factor Coefficients

Intercept

0

Adjusted R2

0.79

Documentation

Factor Attribution

Documentation

Report Calculation Metrics

The report was run on 2023-01-30 and took 22.010660864s to complete.