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 (9y 1m 13d)

Returns (annualized)

Portfolio 5.91%
Benchmark 7.99%

Risk (annualized)

Portfolio 12.87%
Benchmark 11.01%

Sharpe (annualized)

Portfolio 0.32
Benchmark 0.53

Excess Return (annualized)

-2.08%

Tracking Error (annualized)

9.48%

Information Ratio

-0.22
Statistic Portfolio Benchmark
Downside Volatility 13.86% 11.87%
Sortino Ratio 0.29 0.49
Calmar Ratio 0.13 0.26
Ulcer Index 14.35 15.26
Max Drawdown 31.27% 22.16%
VaR (99% Confidence) $-2,992 $-2,561
VaR (99.9% Confidence) $-3,974 $-3,402
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

7.14

Skew

-0.68
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.4937 0.6003 -0.1066
Style Factor 0.0562 -0.0060 0.0623
Size Factor 0.0504 0.0157 0.0347
U.S. Tilt (Non U.S.) -0.1463 -0.0132 -0.1331
Vol Term Structure -0.0006 0.0006 -0.0012
Credit Factor 0.1504 0.0852 0.0652
Duration Factor 1.0812 0.3115 0.7697

Adjusted R2

Portfolio 0.75
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution