Risk Parity

Specification

Policy

Rebalancing Interval	Quarterly
Weights Algorithm	Equal Risk Contribution
Weights Algorithm Look-back	1 Year
Weights Updating Interval	Quarterly

Assets

Benchmark

Policy Report

Backtest Report

From 2017-06-16 to 2024-04-25 (6y 10m 9d)

Returns (annualized)

Portfolio	3.45%
Benchmark	6.18%

Risk (annualized)

Portfolio	13.31%
Benchmark	11.37%

Sharpe (annualized)

Portfolio	0.17
Benchmark	0.41

Excess Return (annualized)

-2.73%

Tracking Error (annualized)

9.90%

Risk Free Rate (annualized)

2.00%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

7.54

Skew

-0.72

Data Table

Factor Coefficients
Factor	Portfolio	Benchmark
Market Factor	0.5121	0.5121
Style Factor	0.0677	0.0677
Size Factor	0.0552	0.0552
U.S. Tilt (Non U.S.)	-0.1467	-0.1467
Vol Term Structure	0.0054	0.0054
Credit Factor	0.1257	0.1257
Duration Factor	1.1758	1.1758

Adjusted R²

Portfolio	0.79
Benchmark	0.99

Intercept

Portfolio	0.00
Benchmark	0.00

Factor Attribution