Levered Risk Parity
Specification
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Equal Risk Contribution |
| Weights Algorithm Look-back | 3 Years |
| Weights Updating Interval | Quarterly |
Benchmark
| SPDR S&P 500 ETF Trust (SPY) |
Description
Levered Risk Parity is likely too high-octane to hold as a total portfolio solution since this much leverage seems to create undue variance drag. However, it could be an interesting portfolio to embed as a sleeve in another portfolio. The “equal weight” construction showcases how a dynamic weighting algorithm can adapt allocation over time, allowing each asset class to leave an impact on the portfolio as a whole. Adding a risk-mitigating sleeve may be an interesting paring for this portfolio.
Policy Report
Backtest Report
From to (6y 5m 9d)
Returns (annualized)
| Portfolio | 6.24% |
|---|---|
| Benchmark | 12.57% |
Risk (annualized)
| Portfolio | 20.59% |
|---|---|
| Benchmark | 19.85% |
Sharpe (annualized)
| Portfolio | 0.30 |
|---|---|
| Benchmark | 0.59 |
Excess Return (annualized)
| -6.33% |
Tracking Error (annualized)
| 21.59% |
Risk Free Rate (annualized)
| 2.05% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 7.82 |
Skew
| -0.49 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Duration Factor | 2.1585 | 2.1585 |
| Inflation Factor | 0.6745 | 0.6745 |
| Market Factor | 0.7983 | 0.7983 |
| Size Factor | -0.0623 | -0.0623 |
| Style Factor | 0.1156 | 0.1156 |
| U.S. Tilt (Non U.S.) | -0.1582 | -0.1582 |
| Yield Curve Factor | 0.3271 | 0.3271 |
Adjusted R2
| Portfolio | 0.85 |
|---|---|
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
|---|---|
| Benchmark | -0.00 |