Four Quadrant Portfolio
Portfolio Specification
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Equal Risk Contribution |
| Weights Algorithm Look-back | 3 Years |
| Weights Updating Interval | Quarterly |
Benchmark
This portfolio is listed on the Community Portfolios page.
Portfolio Description
The portfolio is comprised of 4 thematic composites designed to capture different market environments.
“Inflationary Boom”
“Deflationary Boom”
“Inflationary Bust”
“Deflationary Bust”
Policy Report
Backtest Report
From to (8y 10m 18d)
Returns (annualized)
| Portfolio | 7.04% |
| Benchmark | 8.50% |
Risk (annualized)
| Portfolio | 8.67% |
| Benchmark | 11.05% |
Sharpe (annualized)
| Portfolio | 0.54 |
| Benchmark | 0.57 |
Excess Return (annualized)
| -1.45% |
Tracking Error (annualized)
| 7.00% |
Information Ratio
| -0.21 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.17% | 11.88% |
| Sortino Ratio | 0.51 | 0.53 |
| Calmar Ratio | 0.22 | 0.28 |
| Ulcer Index | 15.17 | 15.25 |
| Max Drawdown | 21.26% | 22.16% |
| VaR (99% Confidence) | $-2,015 | $-2,570 |
| VaR (99.9% Confidence) | $-2,677 | $-3,414 |
| Beta to Benchmark | 0.61 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 6.42 |
Skew
| -0.48 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 0.3527 | 0.6189 | -0.2662 |
| Style Factor | -0.0056 | -0.0015 | -0.0041 |
| Size Factor | 0.0270 | 0.0147 | 0.0123 |
| U.S. Tilt (Non U.S.) | -0.0743 | -0.0121 | -0.0622 |
| Duration Factor | 0.8797 | 0.3301 | 0.5496 |
| Yield Curve Factor | 0.0448 | 0.0204 | 0.0244 |
| Inflation Factor | 0.4998 | 0.0316 | 0.4683 |
Adjusted R2
| Portfolio | 0.85 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |