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 (8y 9m 29d)

Returns (annualized)

Portfolio 6.53%
Benchmark 8.05%

Risk (annualized)

Portfolio 12.92%
Benchmark 11.04%

Sharpe (annualized)

Portfolio 0.36
Benchmark 0.53

Excess Return (annualized)

-1.52%

Tracking Error (annualized)

9.57%

Information Ratio

-0.16
Statistic Portfolio Benchmark
Downside Volatility 13.94% 11.91%
Sortino Ratio 0.34 0.49
Calmar Ratio 0.15 0.27
Ulcer Index 14.32 15.25
Max Drawdown 31.27% 22.16%
VaR (99% Confidence) $-3,005 $-2,566
VaR (99.9% Confidence) $-3,993 $-3,409
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

7.19

Skew

-0.68
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5001 0.5999 -0.0998
Style Factor 0.0549 -0.0062 0.0611
Size Factor 0.0549 0.0161 0.0388
U.S. Tilt (Non U.S.) -0.1552 -0.0131 -0.1421
Vol Term Structure -0.0003 0.0004 -0.0006
Credit Factor 0.1429 0.0856 0.0573
Duration Factor 1.0939 0.3114 0.7825

Adjusted R2

Portfolio 0.75
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution