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

Simple 60/40

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 (7y 11m 29d)

Returns (annualized)

Portfolio 5.60%
Benchmark 7.54%

Risk (annualized)

Portfolio 8.74%
Benchmark 11.29%

Sharpe (annualized)

Portfolio 0.40
Benchmark 0.49

Excess Return (annualized)

-1.94%

Tracking Error (annualized)

7.07%

Information Ratio

-0.27
Statistic Portfolio Benchmark
Downside Volatility 9.20% 12.17%
Sortino Ratio 0.38 0.46
Calmar Ratio 0.16 0.25
Ulcer Index 15.11 15.20
Max Drawdown 21.26% 22.16%
VaR (99% Confidence) $-2,032 $-2,625
VaR (99.9% Confidence) $-2,700 $-3,487
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

6.66

Skew

-0.43
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3563 0.3563
Style Factor -0.0055 -0.0055
Size Factor 0.0251 0.0251
U.S. Tilt (Non U.S.) -0.0719 -0.0719
Duration Factor 0.8920 0.8920
Yield Curve Factor 0.0473 0.0473
Inflation Factor 0.4820 0.4820

Adjusted R2

Portfolio 0.88
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution