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 24d)

Returns (annualized)

Portfolio 5.98%
Benchmark 8.31%

Risk (annualized)

Portfolio 12.89%
Benchmark 11.03%

Sharpe (annualized)

Portfolio 0.32
Benchmark 0.55

Excess Return (annualized)

-2.32%

Tracking Error (annualized)

9.49%

Information Ratio

-0.25
Statistic Portfolio Benchmark
Downside Volatility 13.90% 11.89%
Sortino Ratio 0.30 0.51
Calmar Ratio 0.13 0.27
Ulcer Index 14.35 15.26
Max Drawdown 31.27% 22.16%
VaR (99% Confidence) $-2,997 $-2,564
VaR (99.9% Confidence) $-3,981 $-3,406
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 -0.1054
Style Factor 0.0583 -0.0062 0.0645
Size Factor 0.0497 0.0158 0.0339
U.S. Tilt (Non U.S.) -0.1444 -0.0133 -0.1311
Vol Term Structure 0.0006 0.0006 0.0000
Credit Factor 0.1496 0.0852 0.0644
Duration Factor 1.0853 0.3114 0.7739

Adjusted R2

Portfolio 0.75
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution