Risk Parity

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Risk Contribution
Weights Algorithm Look-back 1 Year
Weights Updating Interval Quarterly
Assets
Global Equity
Fixed Income
Real Assets
Benchmark
Simple 60/40

Policy Report

Backtest Report

From to (7y 5m 3d)

Returns (annualized)

Portfolio 4.02%
Benchmark 7.06%

Risk (annualized)

Portfolio 13.20%
Benchmark 11.14%

Sharpe (annualized)

Portfolio 0.20
Benchmark 0.47

Excess Return (annualized)

-3.03%

Tracking Error (annualized)

9.78%

Information Ratio

-0.31
Statistic Portfolio Benchmark
Downside Volatility 14.21% 12.06%
Sortino Ratio 0.18 0.43
Calmar Ratio 0.08 0.24
Ulcer Index 14.36 15.17
Max Drawdown 31.27% 22.16%
VaR (99% Confidence) $-3,069 $-2,591
VaR (99.9% Confidence) $-4,077 $-3,442
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

7.20

Skew

-0.69
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5133 0.5133
Style Factor 0.0559 0.0559
Size Factor 0.0576 0.0576
U.S. Tilt (Non U.S.) -0.1632 -0.1632
Vol Term Structure 0.0056 0.0056
Credit Factor 0.1247 0.1247
Duration Factor 1.1455 1.1455

Adjusted R2

Portfolio 0.78
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution