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
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 (7y 9m 13d)
Returns (annualized)
| Portfolio | 5.14% |
| Benchmark | 6.63% |
Risk (annualized)
| Portfolio | 8.82% |
| Benchmark | 11.38% |
Sharpe (annualized)
| Portfolio | 0.35 |
| Benchmark | 0.42 |
Excess Return (annualized)
| -1.50% |
Tracking Error (annualized)
| 7.07% |
Information Ratio
| -0.21 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.29% | 12.25% |
| Sortino Ratio | 0.33 | 0.39 |
| Calmar Ratio | 0.14 | 0.21 |
| Ulcer Index | 15.09 | 15.18 |
| Max Drawdown | 21.26% | 22.16% |
| VaR (99% Confidence) | $-2,050 | $-2,645 |
| VaR (99.9% Confidence) | $-2,723 | $-3,514 |
| 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
| 6.57 |
Skew
| -0.43 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Market Factor | 0.3581 | 0.3581 |
| Style Factor | -0.0059 | -0.0059 |
| Size Factor | 0.0251 | 0.0251 |
| U.S. Tilt (Non U.S.) | -0.0684 | -0.0684 |
| Duration Factor | 0.8967 | 0.8967 |
| Yield Curve Factor | 0.0478 | 0.0478 |
| Inflation Factor | 0.4766 | 0.4766 |
Adjusted R2
| Portfolio | 0.89 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |