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 (9y 2d)

Returns (annualized)

Portfolio 6.24%
Benchmark 8.39%

Risk (annualized)

Portfolio 12.91%
Benchmark 11.04%

Sharpe (annualized)

Portfolio 0.34
Benchmark 0.56

Excess Return (annualized)

-2.15%

Tracking Error (annualized)

9.50%

Information Ratio

-0.23
Statistic Portfolio Benchmark
Downside Volatility 13.93% 11.90%
Sortino Ratio 0.32 0.52
Calmar Ratio 0.14 0.28
Ulcer Index 14.34 15.26
Max Drawdown 31.27% 22.16%
VaR (99% Confidence) $-3,001 $-2,568
VaR (99.9% Confidence) $-3,987 $-3,411
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

7.13

Skew

-0.68
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.4948 0.6002 -0.1053
Style Factor 0.0569 -0.0063 0.0632
Size Factor 0.0508 0.0160 0.0347
U.S. Tilt (Non U.S.) -0.1447 -0.0133 -0.1314
Vol Term Structure 0.0004 0.0005 -0.0001
Credit Factor 0.1489 0.0852 0.0637
Duration Factor 1.0862 0.3115 0.7747

Adjusted R2

Portfolio 0.75
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution