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 7m 19d )

Returns (annualized)

Portfolio 4.56%
Benchmark 6.65%

Risk (annualized)

Portfolio 8.81%
Benchmark 11.49%

Sharpe (annualized)

Portfolio 0.33
Benchmark 0.45

Excess Return (annualized)

-2.08%

Tracking Error (annualized)

7.35%

Risk Free Rate (annualized)

1.94%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

6.70

Skew

-0.52
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3572 0.3572
Style Factor 0.0040 0.0040
Size Factor 0.0164 0.0164
U.S. Tilt (Non U.S.) -0.0631 -0.0631
Duration Factor 0.8069 0.8069
Yield Curve Factor 0.0628 0.0628
Inflation Factor 0.4291 0.4291

Adjusted R2

Portfolio 0.89
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution