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

Simple 60/40

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 11d)

Returns (annualized)

Portfolio 4.98%
Benchmark 6.35%

Risk (annualized)

Portfolio 8.81%
Benchmark 11.37%

Sharpe (annualized)

Portfolio 0.33
Benchmark 0.39

Excess Return (annualized)

-1.37%

Tracking Error (annualized)

7.07%

Information Ratio

-0.19
Statistic Portfolio Benchmark
Downside Volatility 9.29% 12.25%
Sortino Ratio 0.32 0.37
Calmar Ratio 0.14 0.20
Ulcer Index 15.09 15.18
Max Drawdown 21.26% 22.16%
VaR (99% Confidence) $-2,049 $-2,644
VaR (99.9% Confidence) $-2,722 $-3,512
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

-0.43
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3582 0.3582
Style Factor -0.0062 -0.0062
Size Factor 0.0252 0.0252
U.S. Tilt (Non U.S.) -0.0678 -0.0678
Duration Factor 0.8972 0.8972
Yield Curve Factor 0.0484 0.0484
Inflation Factor 0.4772 0.4772

Adjusted R2

Portfolio 0.89
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution