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 8m 15d)

Returns (annualized)

Portfolio 6.31%
Benchmark 7.95%

Risk (annualized)

Portfolio 12.94%
Benchmark 10.99%

Sharpe (annualized)

Portfolio 0.35
Benchmark 0.53

Excess Return (annualized)

-1.64%

Tracking Error (annualized)

9.54%

Information Ratio

-0.17
Statistic Portfolio Benchmark
Downside Volatility 13.95% 11.89%
Sortino Ratio 0.32 0.49
Calmar Ratio 0.14 0.26
Ulcer Index 14.30 15.25
Max Drawdown 31.27% 22.16%
VaR (99% Confidence) $-3,010 $-2,556
VaR (99.9% Confidence) $-3,998 $-3,396
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

7.24

Skew

-0.67
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5095 0.6001 -0.0907
Style Factor 0.0502 -0.0064 0.0566
Size Factor 0.0586 0.0163 0.0424
U.S. Tilt (Non U.S.) -0.1704 -0.0135 -0.1569
Vol Term Structure 0.0033 0.0004 0.0029
Credit Factor 0.1358 0.0854 0.0504
Duration Factor 1.1022 0.3116 0.7906

Adjusted R2

Portfolio 0.76
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution