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 (6y 11m 6d)

Returns (annualized)

Portfolio 4.85%
Benchmark 6.89%

Risk (annualized)

Portfolio 8.75%
Benchmark 11.34%

Sharpe (annualized)

Portfolio 0.35
Benchmark 0.46

Excess Return (annualized)

-2.04%

Tracking Error (annualized)

7.23%

Risk Free Rate (annualized)

2.08%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

6.63

Skew

-0.53
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3551 0.3551
Style Factor 0.0062 0.0062
Size Factor 0.0202 0.0202
U.S. Tilt (Non U.S.) -0.0560 -0.0560
Duration Factor 0.9194 0.9194
Yield Curve Factor 0.0459 0.0459
Inflation Factor 0.4701 0.4701

Adjusted R2

Portfolio 0.89
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution