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 7m 23d)
Returns (annualized)
| Portfolio | 6.91% |
| Benchmark | 7.88% |
Risk (annualized)
| Portfolio | 8.67% |
| Benchmark | 11.03% |
Sharpe (annualized)
| Portfolio | 0.53 |
| Benchmark | 0.52 |
Excess Return (annualized)
| -0.98% |
Tracking Error (annualized)
| 7.01% |
Information Ratio
| -0.14 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.17% | 11.90% |
| Sortino Ratio | 0.50 | 0.48 |
| Calmar Ratio | 0.22 | 0.26 |
| Ulcer Index | 15.16 | 15.24 |
| Max Drawdown | 21.26% | 22.16% |
| VaR (99% Confidence) | $-2,017 | $-2,564 |
| VaR (99.9% Confidence) | $-2,679 | $-3,406 |
| 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
| 6.55 |
Skew
| -0.47 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 0.3569 | 0.6192 | -0.2623 |
| Style Factor | -0.0085 | -0.0017 | -0.0069 |
| Size Factor | 0.0300 | 0.0149 | 0.0151 |
| U.S. Tilt (Non U.S.) | -0.0820 | -0.0127 | -0.0693 |
| Duration Factor | 0.8827 | 0.3302 | 0.5524 |
| Yield Curve Factor | 0.0461 | 0.0203 | 0.0258 |
| Inflation Factor | 0.4888 | 0.0311 | 0.4577 |
Adjusted R2
| Portfolio | 0.86 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |