Risk Parity

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Risk Contribution
Weights Algorithm Look-back 1 Year
Weights Updating Interval Quarterly
Benchmark
Simple 60/40

Policy Report

Backtest Report

From to (7y 1d)

Returns (annualized)

Portfolio 3.75%
Benchmark 6.82%

Risk (annualized)

Portfolio 13.28%
Benchmark 11.30%

Sharpe (annualized)

Portfolio 0.19
Benchmark 0.46

Excess Return (annualized)

-3.07%

Tracking Error (annualized)

9.85%

Risk Free Rate (annualized)

2.07%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

7.45

Skew

-0.73
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5123 0.5123
Style Factor 0.0663 0.0663
Size Factor 0.0558 0.0558
U.S. Tilt (Non U.S.) -0.1478 -0.1478
Vol Term Structure 0.0039 0.0039
Credit Factor 0.1247 0.1247
Duration Factor 1.1667 1.1667

Adjusted R2

Portfolio 0.79
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution