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 5m 23d)

Returns (annualized)

Portfolio 5.22%
Benchmark 7.90%

Risk (annualized)

Portfolio 12.96%
Benchmark 11.07%

Sharpe (annualized)

Portfolio 0.27
Benchmark 0.52

Excess Return (annualized)

-2.68%

Tracking Error (annualized)

9.51%

Information Ratio

-0.28
Statistic Portfolio Benchmark
Downside Volatility 13.90% 11.98%
Sortino Ratio 0.25 0.48
Calmar Ratio 0.11 0.26
Ulcer Index 14.27 15.23
Max Drawdown 31.27% 22.16%
VaR (99% Confidence) $-3,013 $-2,574
VaR (99.9% Confidence) $-4,002 $-3,420
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

7.35

Skew

-0.66
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5088 0.6002 -0.0914
Style Factor 0.0507 -0.0064 0.0571
Size Factor 0.0538 0.0165 0.0373
U.S. Tilt (Non U.S.) -0.1669 -0.0139 -0.1531
Vol Term Structure 0.0061 0.0003 0.0058
Credit Factor 0.1380 0.0853 0.0528
Duration Factor 1.1066 0.3116 0.7950

Adjusted R2

Portfolio 0.77
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution