Four Quadrant Portfolio

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Risk Contribution
Weights Algorithm Look-back 3 Years
Weights Updating Interval Quarterly
Benchmark
Simple 60/40

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 (7y 6m 20d)

Returns (annualized)

Portfolio 5.12%
Benchmark 7.14%

Risk (annualized)

Portfolio 8.67%
Benchmark 11.12%

Sharpe (annualized)

Portfolio 0.36
Benchmark 0.47

Excess Return (annualized)

-2.02%

Tracking Error (annualized)

7.05%

Information Ratio

-0.29
Statistic Portfolio Benchmark
Downside Volatility 9.14% 12.05%
Sortino Ratio 0.34 0.44
Calmar Ratio 0.15 0.24
Ulcer Index 15.07 15.17
Max Drawdown 21.26% 22.16%
VaR (99% Confidence) $-2,015 $-2,586
VaR (99.9% Confidence) $-2,677 $-3,435
Beta to Benchmark 0.60 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

6.38

Skew

-0.51
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3554 0.3554
Style Factor -0.0026 -0.0026
Size Factor 0.0228 0.0228
U.S. Tilt (Non U.S.) -0.0656 -0.0656
Duration Factor 0.9087 0.9087
Yield Curve Factor 0.0439 0.0439
Inflation Factor 0.4820 0.4820

Adjusted R2

Portfolio 0.89
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution