Risk Parity

Specification

Policy

Rebalancing Interval	Quarterly
Weights Algorithm	Equal Risk Contribution
Weights Algorithm Look-back	1 Year
Weights Updating Interval	Quarterly

Assets

Benchmark

Policy Report

Backtest Report

From 2017-06-16 to 2024-07-25 (7y 1m 9d)

Returns (annualized)

Portfolio	3.72%
Benchmark	6.69%

Risk (annualized)

Portfolio	13.24%
Benchmark	11.25%

Sharpe (annualized)

Portfolio	0.18
Benchmark	0.45

Excess Return (annualized)

-2.97%

Tracking Error (annualized)

9.81%

Risk Free Rate (annualized)

2.11%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

7.43

Skew

-0.72

Data Table

Factor Coefficients
Factor	Portfolio	Benchmark
Market Factor	0.5122	0.5122
Style Factor	0.0658	0.0658
Size Factor	0.0542	0.0542
U.S. Tilt (Non U.S.)	-0.1489	-0.1489
Vol Term Structure	0.0039	0.0039
Credit Factor	0.1252	0.1252
Duration Factor	1.1631	1.1631

Adjusted R²

Portfolio	0.79
Benchmark	0.99

Intercept

Portfolio	-0.00
Benchmark	0.00

Factor Attribution