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 3m 22d)

Returns (annualized)

Portfolio 4.54%
Benchmark 7.23%

Risk (annualized)

Portfolio 13.21%
Benchmark 11.20%

Sharpe (annualized)

Portfolio 0.24
Benchmark 0.49

Excess Return (annualized)

-2.70%

Tracking Error (annualized)

9.77%

Information Ratio

-0.28
Statistic Portfolio Benchmark
Downside Volatility 14.26% 12.14%
Sortino Ratio 0.22 0.45
Calmar Ratio 0.10 0.25
Ulcer Index 14.38 15.16
Max Drawdown 31.27% 22.16%
VaR (99% Confidence) $-3,072 $-2,604
VaR (99.9% Confidence) $-4,081 $-3,460
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

7.31

Skew

-0.71
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5124 0.5124
Style Factor 0.0581 0.0581
Size Factor 0.0616 0.0616
U.S. Tilt (Non U.S.) -0.1580 -0.1580
Vol Term Structure 0.0060 0.0060
Credit Factor 0.1255 0.1255
Duration Factor 1.1451 1.1451

Adjusted R2

Portfolio 0.78
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution