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 11m 29d)
Returns (annualized)
| Portfolio | 6.68% |
| Benchmark | 8.37% |
Risk (annualized)
| Portfolio | 8.68% |
| Benchmark | 11.06% |
Sharpe (annualized)
| Portfolio | 0.50 |
| Benchmark | 0.56 |
Excess Return (annualized)
| -1.70% |
Tracking Error (annualized)
| 6.97% |
Information Ratio
| -0.24 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.20% | 11.90% |
| Sortino Ratio | 0.47 | 0.52 |
| Calmar Ratio | 0.20 | 0.28 |
| Ulcer Index | 15.18 | 15.26 |
| Max Drawdown | 21.26% | 22.16% |
| VaR (99% Confidence) | $-2,019 | $-2,571 |
| VaR (99.9% Confidence) | $-2,682 | $-3,416 |
| 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
| 6.33 |
Skew
| -0.48 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 0.3532 | 0.6190 | -0.2658 |
| Style Factor | -0.0056 | -0.0015 | -0.0040 |
| Size Factor | 0.0262 | 0.0145 | 0.0117 |
| U.S. Tilt (Non U.S.) | -0.0753 | -0.0120 | -0.0633 |
| Duration Factor | 0.8785 | 0.3301 | 0.5484 |
| Yield Curve Factor | 0.0440 | 0.0203 | 0.0237 |
| Inflation Factor | 0.5013 | 0.0318 | 0.4695 |
Adjusted R2
| Portfolio | 0.85 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |