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 6m 10d)
Returns (annualized)
| Portfolio | 6.56% |
| Benchmark | 8.09% |
Risk (annualized)
| Portfolio | 8.61% |
| Benchmark | 11.06% |
Sharpe (annualized)
| Portfolio | 0.50 |
| Benchmark | 0.54 |
Excess Return (annualized)
| -1.53% |
Tracking Error (annualized)
| 6.94% |
Information Ratio
| -0.22 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.05% | 11.95% |
| Sortino Ratio | 0.47 | 0.50 |
| Calmar Ratio | 0.20 | 0.27 |
| Ulcer Index | 15.15 | 15.23 |
| Max Drawdown | 21.26% | 22.16% |
| VaR (99% Confidence) | $-2,001 | $-2,572 |
| VaR (99.9% Confidence) | $-2,659 | $-3,417 |
| 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
| 6.71 |
Skew
| -0.44 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 0.3562 | 0.6195 | -0.2632 |
| Style Factor | -0.0062 | -0.0017 | -0.0045 |
| Size Factor | 0.0274 | 0.0151 | 0.0123 |
| U.S. Tilt (Non U.S.) | -0.0758 | -0.0134 | -0.0624 |
| Duration Factor | 0.8845 | 0.3303 | 0.5542 |
| Yield Curve Factor | 0.0460 | 0.0204 | 0.0256 |
| Inflation Factor | 0.4842 | 0.0307 | 0.4534 |
Adjusted R2
| Portfolio | 0.87 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |