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 6m 3d)

Returns (annualized)

Portfolio 3.45%
Benchmark 6.85%

Risk (annualized)

Portfolio 13.18%
Benchmark 11.12%

Sharpe (annualized)

Portfolio 0.15
Benchmark 0.45

Excess Return (annualized)

-3.40%

Tracking Error (annualized)

9.75%

Information Ratio

-0.35
Statistic Portfolio Benchmark
Downside Volatility 14.21% 12.07%
Sortino Ratio 0.14 0.42
Calmar Ratio 0.07 0.23
Ulcer Index 14.34 15.17
Max Drawdown 31.27% 22.16%
VaR (99% Confidence) $-3,064 $-2,585
VaR (99.9% Confidence) $-4,070 $-3,435
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

7.18

Skew

-0.69
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5134 0.5134
Style Factor 0.0554 0.0554
Size Factor 0.0560 0.0560
U.S. Tilt (Non U.S.) -0.1660 -0.1660
Vol Term Structure 0.0055 0.0055
Credit Factor 0.1237 0.1237
Duration Factor 1.1380 1.1380

Adjusted R2

Portfolio 0.78
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution