Risk Parity

Portfolio Specification

Assets

Global Equity
Fixed Income
Real Assets

Policy

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

Benchmark

Simple 60/40

This portfolio is listed on the Community Portfolios page.

Policy Report

Backtest Report

From to (8y 4m 25d)

Returns (annualized)

Portfolio 5.33%
Benchmark 7.98%

Risk (annualized)

Portfolio 12.99%
Benchmark 11.10%

Sharpe (annualized)

Portfolio 0.28
Benchmark 0.53

Excess Return (annualized)

-2.65%

Tracking Error (annualized)

9.54%

Information Ratio

-0.28
Statistic Portfolio Benchmark
Downside Volatility 13.95% 12.00%
Sortino Ratio 0.26 0.49
Calmar Ratio 0.12 0.27
Ulcer Index 14.26 15.23
Max Drawdown 31.27% 22.16%
VaR (99% Confidence) $-3,020 $-2,581
VaR (99.9% Confidence) $-4,011 $-3,428
Beta to Benchmark 0.81 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

7.35

Skew

-0.66
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5090 0.6002 -0.0911
Style Factor 0.0513 -0.0064 0.0577
Size Factor 0.0544 0.0167 0.0377
U.S. Tilt (Non U.S.) -0.1668 -0.0138 -0.1530
Vol Term Structure 0.0067 0.0003 0.0064
Credit Factor 0.1368 0.0852 0.0516
Duration Factor 1.1077 0.3117 0.7960

Adjusted R2

Portfolio 0.77
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution