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 3d)

Returns (annualized)

Portfolio 4.82%
Benchmark 6.78%

Risk (annualized)

Portfolio 8.67%
Benchmark 11.13%

Sharpe (annualized)

Portfolio 0.33
Benchmark 0.44

Excess Return (annualized)

-1.96%

Tracking Error (annualized)

7.07%

Information Ratio

-0.28
Statistic Portfolio Benchmark
Downside Volatility 9.16% 12.06%
Sortino Ratio 0.31 0.41
Calmar Ratio 0.13 0.22
Ulcer Index 15.07 15.17
Max Drawdown 21.26% 22.16%
VaR (99% Confidence) $-2,016 $-2,589
VaR (99.9% Confidence) $-2,678 $-3,439
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

6.40

Skew

-0.51
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3555 0.3555
Style Factor -0.0011 -0.0011
Size Factor 0.0222 0.0222
U.S. Tilt (Non U.S.) -0.0654 -0.0654
Duration Factor 0.9098 0.9098
Yield Curve Factor 0.0439 0.0439
Inflation Factor 0.4824 0.4824

Adjusted R2

Portfolio 0.89
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution