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

Policy Report

Backtest Report

From to (8y 24d)

Returns (annualized)

Portfolio 4.42%
Benchmark 7.47%

Risk (annualized)

Portfolio 13.15%
Benchmark 11.25%

Sharpe (annualized)

Portfolio 0.22
Benchmark 0.49

Excess Return (annualized)

-3.05%

Tracking Error (annualized)

9.65%

Information Ratio

-0.32
Statistic Portfolio Benchmark
Downside Volatility 14.17% 12.16%
Sortino Ratio 0.20 0.45
Calmar Ratio 0.09 0.25
Ulcer Index 14.26 15.20
Max Drawdown 31.27% 22.16%
VaR (99% Confidence) $-3,057 $-2,616
VaR (99.9% Confidence) $-4,061 $-3,476
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

7.24

Skew

-0.66
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5100 0.5100
Style Factor 0.0522 0.0522
Size Factor 0.0571 0.0571
U.S. Tilt (Non U.S.) -0.1647 -0.1647
Vol Term Structure 0.0068 0.0068
Credit Factor 0.1361 0.1361
Duration Factor 1.1118 1.1118

Adjusted R2

Portfolio 0.77
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution