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
This portfolio is listed on the Community Portfolios page.
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 (4m 21d)
Returns
| Portfolio | 7.61% |
| Benchmark | 6.82% |
Risk (annualized)
| Portfolio | 6.34% |
| Benchmark | 6.91% |
Sharpe (annualized)
| Portfolio | 2.39 |
| Benchmark | 1.92 |
Excess Return
| 0.80% |
Tracking Error (annualized)
| 4.52% |
Information Ratio
| 0.50 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 6.22% | 7.42% |
| Sortino Ratio | 2.44 | 1.79 |
| Calmar Ratio | 6.01 | 4.06 |
| Ulcer Index | 15.79 | 15.79 |
| Max Drawdown | 2.52% | 3.28% |
| VaR (99% Confidence) | $-1,466 | $-1,600 |
| VaR (99.9% Confidence) | $-1,947 | $-2,125 |
| Beta to Benchmark | 0.71 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 0.65 |
Skew
| -0.14 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 0.3870 | 0.6175 | -0.2305 |
| Style Factor | -0.0433 | -0.0030 | -0.0403 |
| Size Factor | 0.0623 | 0.0032 | 0.0591 |
| U.S. Tilt (Non U.S.) | -0.3056 | -0.0080 | -0.2977 |
| Duration Factor | 0.5189 | 0.3257 | 0.1933 |
| Yield Curve Factor | 0.0083 | 0.0171 | -0.0088 |
| Inflation Factor | 0.6332 | 0.0345 | 0.5987 |
Adjusted R2
| Portfolio | 0.69 |
| Benchmark | 1.00 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |