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 1d)
Returns (annualized)
| Portfolio | 6.69% |
| Benchmark | 8.16% |
Risk (annualized)
| Portfolio | 8.67% |
| Benchmark | 11.04% |
Sharpe (annualized)
| Portfolio | 0.51 |
| Benchmark | 0.54 |
Excess Return (annualized)
| -1.47% |
Tracking Error (annualized)
| 6.99% |
Information Ratio
| -0.21 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.15% | 11.92% |
| Sortino Ratio | 0.48 | 0.50 |
| Calmar Ratio | 0.21 | 0.27 |
| Ulcer Index | 15.15 | 15.24 |
| Max Drawdown | 21.26% | 22.16% |
| VaR (99% Confidence) | $-2,017 | $-2,567 |
| VaR (99.9% Confidence) | $-2,680 | $-3,410 |
| 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
| 6.59 |
Skew
| -0.46 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 0.3575 | 0.6194 | -0.2618 |
| Style Factor | -0.0091 | -0.0016 | -0.0075 |
| Size Factor | 0.0304 | 0.0149 | 0.0155 |
| U.S. Tilt (Non U.S.) | -0.0825 | -0.0131 | -0.0695 |
| Duration Factor | 0.8827 | 0.3303 | 0.5524 |
| Yield Curve Factor | 0.0469 | 0.0203 | 0.0266 |
| Inflation Factor | 0.4857 | 0.0309 | 0.4549 |
Adjusted R2
| Portfolio | 0.86 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |