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
This portfolio is listed on the Community Portfolios page.
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 (8y 5m)
Returns (annualized)
| Portfolio | 6.24% |
| Benchmark | 8.07% |
Risk (annualized)
| Portfolio | 8.63% |
| Benchmark | 11.10% |
Sharpe (annualized)
| Portfolio | 0.46 |
| Benchmark | 0.53 |
Excess Return (annualized)
| -1.83% |
Tracking Error (annualized)
| 6.95% |
Information Ratio
| -0.26 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.07% | 11.99% |
| Sortino Ratio | 0.44 | 0.49 |
| Calmar Ratio | 0.19 | 0.27 |
| Ulcer Index | 15.14 | 15.23 |
| Max Drawdown | 21.26% | 22.16% |
| VaR (99% Confidence) | $-2,006 | $-2,581 |
| VaR (99.9% Confidence) | $-2,665 | $-3,429 |
| Beta to Benchmark | 0.61 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 6.72 |
Skew
| -0.44 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 0.3563 | 0.6195 | -0.2632 |
| Style Factor | -0.0076 | -0.0017 | -0.0059 |
| Size Factor | 0.0264 | 0.0152 | 0.0111 |
| U.S. Tilt (Non U.S.) | -0.0750 | -0.0135 | -0.0616 |
| Duration Factor | 0.8861 | 0.3303 | 0.5557 |
| Yield Curve Factor | 0.0467 | 0.0204 | 0.0263 |
| Inflation Factor | 0.4838 | 0.0307 | 0.4531 |
Adjusted R2
| Portfolio | 0.87 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |