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

Policy Report

Backtest Report

From to (7y 11m 13d)

Returns (annualized)

Portfolio 3.99%
Benchmark 7.06%

Risk (annualized)

Portfolio 13.21%
Benchmark 11.31%

Sharpe (annualized)

Portfolio 0.19
Benchmark 0.45

Excess Return (annualized)

-3.07%

Tracking Error (annualized)

9.66%

Information Ratio

-0.32
Statistic Portfolio Benchmark
Downside Volatility 14.25% 12.19%
Sortino Ratio 0.17 0.42
Calmar Ratio 0.08 0.23
Ulcer Index 14.27 15.19
Max Drawdown 31.27% 22.16%
VaR (99% Confidence) $-3,071 $-2,629
VaR (99.9% Confidence) $-4,080 $-3,492
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

7.19

Skew

-0.65
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5124 0.5124
Style Factor 0.0512 0.0512
Size Factor 0.0577 0.0577
U.S. Tilt (Non U.S.) -0.1668 -0.1668
Vol Term Structure 0.0088 0.0088
Credit Factor 0.1329 0.1329
Duration Factor 1.1160 1.1160

Adjusted R2

Portfolio 0.78
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution