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 (8y 14d)

Returns (annualized)

Portfolio 4.43%
Benchmark 7.44%

Risk (annualized)

Portfolio 13.16%
Benchmark 11.27%

Sharpe (annualized)

Portfolio 0.22
Benchmark 0.48

Excess Return (annualized)

-3.01%

Tracking Error (annualized)

9.66%

Information Ratio

-0.31
Statistic Portfolio Benchmark
Downside Volatility 14.18% 12.16%
Sortino Ratio 0.20 0.45
Calmar Ratio 0.09 0.25
Ulcer Index 14.27 15.20
Max Drawdown 31.27% 22.16%
VaR (99% Confidence) $-3,061 $-2,620
VaR (99.9% Confidence) $-4,066 $-3,480
Beta to Benchmark 0.81 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

-0.66
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5102 0.5102
Style Factor 0.0520 0.0520
Size Factor 0.0569 0.0569
U.S. Tilt (Non U.S.) -0.1652 -0.1652
Vol Term Structure 0.0069 0.0069
Credit Factor 0.1355 0.1355
Duration Factor 1.1122 1.1122

Adjusted R2

Portfolio 0.77
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution