Risk Parity with Vol

Specification

Policy
Rebalancing Interval Monthly
Weights Algorithm Constant Weights
Assets
Levered Risk Parity75.00%
Long Volatility25.00%
Benchmark
BlackRock Gwth Ptf Institutional (BIGPX)

Policy Report

Backtest Report

From to (6y 5m 9d)

Returns (annualized)

Portfolio 5.64%
Benchmark 6.79%

Risk (annualized)

Portfolio 14.36%
Benchmark 12.09%

Sharpe (annualized)

Portfolio 0.31
Benchmark 0.44

Excess Return (annualized)

-1.16%

Tracking Error (annualized)

14.14%

Risk Free Rate (annualized)

2.05%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.03

Skew

-0.21
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0292 -0.0292
Duration Factor 1.7301 1.7301
High Beta (Low Beta) -0.0456 -0.0456
Inflation Factor 0.6299 0.6299
Market Factor 0.3438 0.3438
Style Factor 0.0031 0.0031
U.S. Tilt (Non U.S.) -0.1810 -0.1810
Vol Factor 0.0058 0.0058
Vol Term Structure 0.1035 0.1035
Yield Curve Factor 0.2704 0.2704

Adjusted R2

Portfolio 0.73
Benchmark 0.60

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution