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)

Returns (annualized)

Portfolio 5.40%
Benchmark 7.88%

Risk (annualized)

Portfolio 13.01%
Benchmark 11.13%

Sharpe (annualized)

Portfolio 0.28
Benchmark 0.52

Excess Return (annualized)

-2.48%

Tracking Error (annualized)

9.56%

Information Ratio

-0.26
Statistic Portfolio Benchmark
Downside Volatility 13.99% 12.02%
Sortino Ratio 0.26 0.48
Calmar Ratio 0.12 0.26
Ulcer Index 14.26 15.22
Max Drawdown 31.27% 22.16%
VaR (99% Confidence) $-3,026 $-2,587
VaR (99.9% Confidence) $-4,020 $-3,437
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

7.34

Skew

-0.66
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5089 0.6002 -0.0912
Style Factor 0.0522 -0.0064 0.0586
Size Factor 0.0528 0.0167 0.0361
U.S. Tilt (Non U.S.) -0.1641 -0.0139 -0.1502
Vol Term Structure 0.0074 0.0003 0.0072
Credit Factor 0.1365 0.0852 0.0512
Duration Factor 1.1092 0.3117 0.7975

Adjusted R2

Portfolio 0.77
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution