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 11m 13d)

Returns (annualized)

Portfolio 6.49%
Benchmark 8.43%

Risk (annualized)

Portfolio 12.89%
Benchmark 11.02%

Sharpe (annualized)

Portfolio 0.36
Benchmark 0.56

Excess Return (annualized)

-1.94%

Tracking Error (annualized)

9.53%

Information Ratio

-0.20
Statistic Portfolio Benchmark
Downside Volatility 13.89% 11.87%
Sortino Ratio 0.33 0.52
Calmar Ratio 0.15 0.28
Ulcer Index 14.34 15.25
Max Drawdown 31.27% 22.16%
VaR (99% Confidence) $-2,996 $-2,562
VaR (99.9% Confidence) $-3,980 $-3,404
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

7.20

Skew

-0.68
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.4954 0.6000 -0.1046
Style Factor 0.0573 -0.0062 0.0636
Size Factor 0.0516 0.0161 0.0355
U.S. Tilt (Non U.S.) -0.1459 -0.0132 -0.1327
Vol Term Structure 0.0003 0.0004 -0.0001
Credit Factor 0.1485 0.0855 0.0630
Duration Factor 1.0871 0.3114 0.7757

Adjusted R2

Portfolio 0.75
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution