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 2025-02-20 (7y 8m 4d)

Returns (annualized)

Portfolio	4.39%
Benchmark	7.24%

Risk (annualized)

Portfolio	13.10%
Benchmark	11.06%

Sharpe (annualized)

Portfolio	0.22
Benchmark	0.48

Excess Return (annualized)

-2.85%

Tracking Error (annualized)

9.68%

Information Ratio

-0.29

Statistic	Portfolio	Benchmark
Downside Volatility	14.11%	12.00%
Sortino Ratio	0.20	0.44
Calmar Ratio	0.09	0.24
Ulcer Index	14.31	15.18
Max Drawdown	31.27%	22.16%
VaR (99% Confidence)	$-3,046	$-2,572
VaR (99.9% Confidence)	$-4,047	$-3,416
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

7.23

Skew

-0.70

Data Table

Factor Coefficients
Factor	Portfolio	Benchmark
Market Factor	0.5108	0.5108
Style Factor	0.0549	0.0549
Size Factor	0.0547	0.0547
U.S. Tilt (Non U.S.)	-0.1645	-0.1645
Vol Term Structure	0.0052	0.0052
Credit Factor	0.1278	0.1278
Duration Factor	1.1307	1.1307

Adjusted R²

Portfolio	0.78
Benchmark	0.99

Intercept

Portfolio	-0.00
Benchmark	0.00

Factor Attribution