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 6m 30d)

Returns (annualized)

Portfolio 5.70%
Benchmark 8.09%

Risk (annualized)

Portfolio 12.91%
Benchmark 11.02%

Sharpe (annualized)

Portfolio 0.31
Benchmark 0.54

Excess Return (annualized)

-2.39%

Tracking Error (annualized)

9.48%

Information Ratio

-0.25
Statistic Portfolio Benchmark
Downside Volatility 13.88% 11.93%
Sortino Ratio 0.28 0.50
Calmar Ratio 0.13 0.27
Ulcer Index 14.28 15.24
Max Drawdown 31.27% 22.16%
VaR (99% Confidence) $-3,003 $-2,564
VaR (99.9% Confidence) $-3,990 $-3,405
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

7.37

Skew

-0.66
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5094 0.6002 -0.0908
Style Factor 0.0521 -0.0064 0.0585
Size Factor 0.0543 0.0165 0.0378
U.S. Tilt (Non U.S.) -0.1664 -0.0138 -0.1526
Vol Term Structure 0.0052 0.0004 0.0049
Credit Factor 0.1373 0.0853 0.0520
Duration Factor 1.1059 0.3116 0.7943

Adjusted R2

Portfolio 0.77
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution