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 9m 1d)

Returns (annualized)

Portfolio 6.41%
Benchmark 7.78%

Risk (annualized)

Portfolio 12.92%
Benchmark 10.99%

Sharpe (annualized)

Portfolio 0.35
Benchmark 0.51

Excess Return (annualized)

-1.37%

Tracking Error (annualized)

9.54%

Information Ratio

-0.14
Statistic Portfolio Benchmark
Downside Volatility 13.93% 11.88%
Sortino Ratio 0.33 0.47
Calmar Ratio 0.15 0.25
Ulcer Index 14.30 15.25
Max Drawdown 31.27% 22.16%
VaR (99% Confidence) $-3,006 $-2,556
VaR (99.9% Confidence) $-3,993 $-3,396
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

7.26

Skew

-0.67
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5072 0.6001 -0.0929
Style Factor 0.0498 -0.0064 0.0562
Size Factor 0.0572 0.0162 0.0410
U.S. Tilt (Non U.S.) -0.1678 -0.0134 -0.1544
Vol Term Structure -0.0004 0.0004 -0.0007
Credit Factor 0.1372 0.0854 0.0518
Duration Factor 1.0977 0.3116 0.7861

Adjusted R2

Portfolio 0.76
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution