Risk Parity

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Risk Contribution
Weights Algorithm Look-back 1 Year
Weights Updating Interval Quarterly
Benchmark
Simple 60/40

Policy Report

Backtest Report

From to (6y 8m 14d )

Returns (annualized)

Portfolio 3.39%
Benchmark 6.57%

Risk (annualized)

Portfolio 13.40%
Benchmark 11.44%

Sharpe (annualized)

Portfolio 0.17
Benchmark 0.45

Excess Return (annualized)

-3.18%

Tracking Error (annualized)

9.97%

Risk Free Rate (annualized)

1.93%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

7.45

Skew

-0.71
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5204 0.5204
Style Factor 0.0621 0.0621
Size Factor 0.0525 0.0525
U.S. Tilt (Non U.S.) -0.1595 -0.1595
Vol Term Structure 0.0036 0.0036
Credit Factor 0.1018 0.1018
Duration Factor 1.1775 1.1775

Adjusted R2

Portfolio 0.79
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution