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 8m 17d)

Returns (annualized)

Portfolio 5.16%
Benchmark 6.76%

Risk (annualized)

Portfolio 8.63%
Benchmark 11.09%

Sharpe (annualized)

Portfolio 0.36
Benchmark 0.44

Excess Return (annualized)

-1.60%

Tracking Error (annualized)

7.01%

Information Ratio

-0.23
Statistic Portfolio Benchmark
Downside Volatility 9.10% 11.99%
Sortino Ratio 0.34 0.40
Calmar Ratio 0.15 0.22
Ulcer Index 15.08 15.18
Max Drawdown 21.26% 22.16%
VaR (99% Confidence) $-2,007 $-2,578
VaR (99.9% Confidence) $-2,666 $-3,425
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

6.37

Skew

-0.51
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3555 0.3555
Style Factor -0.0057 -0.0057
Size Factor 0.0241 0.0241
U.S. Tilt (Non U.S.) -0.0673 -0.0673
Duration Factor 0.9023 0.9023
Yield Curve Factor 0.0444 0.0444
Inflation Factor 0.4824 0.4824

Adjusted R2

Portfolio 0.89
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution