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 7m 21d)

Returns (annualized)

Portfolio 5.86%
Benchmark 8.11%

Risk (annualized)

Portfolio 12.96%
Benchmark 11.01%

Sharpe (annualized)

Portfolio 0.32
Benchmark 0.54

Excess Return (annualized)

-2.25%

Tracking Error (annualized)

9.54%

Information Ratio

-0.24
Statistic Portfolio Benchmark
Downside Volatility 13.94% 11.90%
Sortino Ratio 0.29 0.50
Calmar Ratio 0.13 0.27
Ulcer Index 14.29 15.24
Max Drawdown 31.27% 22.16%
VaR (99% Confidence) $-3,013 $-2,561
VaR (99.9% Confidence) $-4,002 $-3,402
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

7.26

Skew

-0.67
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5103 0.6002 -0.0899
Style Factor 0.0498 -0.0064 0.0562
Size Factor 0.0577 0.0163 0.0414
U.S. Tilt (Non U.S.) -0.1732 -0.0136 -0.1595
Vol Term Structure 0.0029 0.0004 0.0025
Credit Factor 0.1354 0.0853 0.0500
Duration Factor 1.1041 0.3116 0.7925

Adjusted R2

Portfolio 0.76
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution