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 7m)

Returns (annualized)

Portfolio 3.88%
Benchmark 6.90%

Risk (annualized)

Portfolio 13.14%
Benchmark 11.10%

Sharpe (annualized)

Portfolio 0.18
Benchmark 0.45

Excess Return (annualized)

-3.02%

Tracking Error (annualized)

9.72%

Information Ratio

-0.31
Statistic Portfolio Benchmark
Downside Volatility 14.16% 12.05%
Sortino Ratio 0.17 0.42
Calmar Ratio 0.08 0.23
Ulcer Index 14.33 15.18
Max Drawdown 31.27% 22.16%
VaR (99% Confidence) $-3,056 $-2,581
VaR (99.9% Confidence) $-4,060 $-3,429
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

7.21

Skew

-0.69
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5115 0.5115
Style Factor 0.0568 0.0568
Size Factor 0.0552 0.0552
U.S. Tilt (Non U.S.) -0.1655 -0.1655
Vol Term Structure 0.0056 0.0056
Credit Factor 0.1276 0.1276
Duration Factor 1.1348 1.1348

Adjusted R2

Portfolio 0.78
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution