Four Quadrant Portfolio
Portfolio Specification
Policy
Rebalancing Interval | Quarterly |
---|---|
Weights Algorithm | Equal Risk Contribution |
Weights Algorithm Look-back | 3 Years |
Weights Updating Interval | Quarterly |
Benchmark
Portfolio 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 (7y 11m 29d)
Returns (annualized)
Portfolio | 5.60% |
Benchmark | 7.54% |
Risk (annualized)
Portfolio | 8.74% |
Benchmark | 11.29% |
Sharpe (annualized)
Portfolio | 0.40 |
Benchmark | 0.49 |
Excess Return (annualized)
-1.94% |
Tracking Error (annualized)
7.07% |
Information Ratio
-0.27 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 9.20% | 12.17% |
Sortino Ratio | 0.38 | 0.46 |
Calmar Ratio | 0.16 | 0.25 |
Ulcer Index | 15.11 | 15.20 |
Max Drawdown | 21.26% | 22.16% |
VaR (99% Confidence) | $-2,032 | $-2,625 |
VaR (99.9% Confidence) | $-2,700 | $-3,487 |
Beta to Benchmark | 0.60 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
6.66 |
Skew
-0.43 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Market Factor | 0.3563 | 0.3563 |
Style Factor | -0.0055 | -0.0055 |
Size Factor | 0.0251 | 0.0251 |
U.S. Tilt (Non U.S.) | -0.0719 | -0.0719 |
Duration Factor | 0.8920 | 0.8920 |
Yield Curve Factor | 0.0473 | 0.0473 |
Inflation Factor | 0.4820 | 0.4820 |
Adjusted R2
Portfolio | 0.88 |
Benchmark | 0.99 |
Intercept
Portfolio | -0.00 |
Benchmark | 0.00 |