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 6m 20d)
Returns (annualized)
| Portfolio | 5.12% |
| Benchmark | 7.14% |
Risk (annualized)
| Portfolio | 8.67% |
| Benchmark | 11.12% |
Sharpe (annualized)
| Portfolio | 0.36 |
| Benchmark | 0.47 |
Excess Return (annualized)
| -2.02% |
Tracking Error (annualized)
| 7.05% |
Information Ratio
| -0.29 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.14% | 12.05% |
| Sortino Ratio | 0.34 | 0.44 |
| Calmar Ratio | 0.15 | 0.24 |
| Ulcer Index | 15.07 | 15.17 |
| Max Drawdown | 21.26% | 22.16% |
| VaR (99% Confidence) | $-2,015 | $-2,586 |
| VaR (99.9% Confidence) | $-2,677 | $-3,435 |
| 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
| 6.38 |
Skew
| -0.51 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Market Factor | 0.3554 | 0.3554 |
| Style Factor | -0.0026 | -0.0026 |
| Size Factor | 0.0228 | 0.0228 |
| U.S. Tilt (Non U.S.) | -0.0656 | -0.0656 |
| Duration Factor | 0.9087 | 0.9087 |
| Yield Curve Factor | 0.0439 | 0.0439 |
| Inflation Factor | 0.4820 | 0.4820 |
Adjusted R2
| Portfolio | 0.89 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |