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 8m 17d)
Returns (annualized)
Portfolio | 5.16% |
Benchmark | 6.76% |
Risk (annualized)
Portfolio | 8.63% |
Benchmark | 11.09% |
Sharpe (annualized)
Portfolio | 0.36 |
Benchmark | 0.44 |
Excess Return (annualized)
-1.60% |
Tracking Error (annualized)
7.01% |
Information Ratio
-0.23 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 9.10% | 11.99% |
Sortino Ratio | 0.34 | 0.40 |
Calmar Ratio | 0.15 | 0.22 |
Ulcer Index | 15.08 | 15.18 |
Max Drawdown | 21.26% | 22.16% |
VaR (99% Confidence) | $-2,007 | $-2,578 |
VaR (99.9% Confidence) | $-2,666 | $-3,425 |
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
6.37 |
Skew
-0.51 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Market Factor | 0.3555 | 0.3555 |
Style Factor | -0.0057 | -0.0057 |
Size Factor | 0.0241 | 0.0241 |
U.S. Tilt (Non U.S.) | -0.0673 | -0.0673 |
Duration Factor | 0.9023 | 0.9023 |
Yield Curve Factor | 0.0444 | 0.0444 |
Inflation Factor | 0.4824 | 0.4824 |
Adjusted R2
Portfolio | 0.89 |
Benchmark | 0.99 |
Intercept
Portfolio | -0.00 |
Benchmark | 0.00 |