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 1m 16d)

Returns (annualized)

Portfolio 4.40%
Benchmark 7.37%

Risk (annualized)

Portfolio 13.12%
Benchmark 11.22%

Sharpe (annualized)

Portfolio 0.21
Benchmark 0.48

Excess Return (annualized)

-2.97%

Tracking Error (annualized)

9.64%

Information Ratio

-0.31
Statistic Portfolio Benchmark
Downside Volatility 14.12% 12.12%
Sortino Ratio 0.20 0.44
Calmar Ratio 0.09 0.24
Ulcer Index 14.26 15.21
Max Drawdown 31.27% 22.16%
VaR (99% Confidence) $-3,050 $-2,608
VaR (99.9% Confidence) $-4,052 $-3,465
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

7.25

Skew

-0.66
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5094 0.5094
Style Factor 0.0531 0.0531
Size Factor 0.0559 0.0559
U.S. Tilt (Non U.S.) -0.1625 -0.1625
Vol Term Structure 0.0078 0.0078
Credit Factor 0.1364 0.1364
Duration Factor 1.1119 1.1119

Adjusted R2

Portfolio 0.77
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution