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 9m 5d)

Returns (annualized)

Portfolio 4.26%
Benchmark 6.83%

Risk (annualized)

Portfolio 13.06%
Benchmark 11.05%

Sharpe (annualized)

Portfolio 0.21
Benchmark 0.45

Excess Return (annualized)

-2.58%

Tracking Error (annualized)

9.65%

Information Ratio

-0.27
Statistic Portfolio Benchmark
Downside Volatility 14.06% 11.99%
Sortino Ratio 0.19 0.41
Calmar Ratio 0.09 0.22
Ulcer Index 14.30 15.19
Max Drawdown 31.27% 22.16%
VaR (99% Confidence) $-3,036 $-2,570
VaR (99.9% Confidence) $-4,033 $-3,415
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

7.26

Skew

-0.69
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5103 0.5103
Style Factor 0.0510 0.0510
Size Factor 0.0582 0.0582
U.S. Tilt (Non U.S.) -0.1636 -0.1636
Vol Term Structure 0.0054 0.0054
Credit Factor 0.1272 0.1272
Duration Factor 1.1248 1.1248

Adjusted R2

Portfolio 0.77
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution