Four Quadrant Portfolio

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Risk Contribution
Weights Algorithm Look-back 3 Years
Weights Updating Interval Quarterly
Benchmark
Simple 60/40

Description

The portfolio is comprised of 4 thematic composites designed to capture different market environments.

  • “Inflationary Boom”

  • “Deflationary Boom”

  • “Inflationary Bust”

  • “Deflationary Bust”

Policy Report

Backtest Report

From to (6y 8m 15d)

Returns (annualized)

Portfolio 4.66%
Benchmark 6.74%

Risk (annualized)

Portfolio 8.78%
Benchmark 11.44%

Sharpe (annualized)

Portfolio 0.34
Benchmark 0.46

Excess Return (annualized)

-2.08%

Tracking Error (annualized)

7.32%

Risk Free Rate (annualized)

1.97%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

6.75

Skew

-0.52
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3555 0.3555
Style Factor 0.0084 0.0084
Size Factor 0.0192 0.0192
U.S. Tilt (Non U.S.) -0.0549 -0.0549
Duration Factor 0.9270 0.9270
Yield Curve Factor 0.0465 0.0465
Inflation Factor 0.4675 0.4675

Adjusted R2

Portfolio 0.90
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution