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 2m 12d)

Returns (annualized)

Portfolio 4.73%
Benchmark 7.68%

Risk (annualized)

Portfolio 13.08%
Benchmark 11.18%

Sharpe (annualized)

Portfolio 0.24
Benchmark 0.50

Excess Return (annualized)

-2.95%

Tracking Error (annualized)

9.60%

Information Ratio

-0.31
Statistic Portfolio Benchmark
Downside Volatility 14.05% 12.06%
Sortino Ratio 0.22 0.47
Calmar Ratio 0.10 0.25
Ulcer Index 14.25 15.21
Max Drawdown 31.27% 22.16%
VaR (99% Confidence) $-3,041 $-2,601
VaR (99.9% Confidence) $-4,040 $-3,455
Beta to Benchmark 0.82 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

7.29

Skew

-0.66
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5088 0.6002 -0.0913
Style Factor 0.0531 -0.0063 0.0594
Size Factor 0.0546 0.0170 0.0376
U.S. Tilt (Non U.S.) -0.1624 -0.0139 -0.1486
Vol Term Structure 0.0076 0.0003 0.0074
Credit Factor 0.1370 0.0852 0.0519
Duration Factor 1.1110 0.3118 0.7992

Adjusted R2

Portfolio 0.77
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution