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 21d)
Returns (annualized)
| Portfolio | 5.27% |
| Benchmark | 6.82% |
Risk (annualized)
| Portfolio | 8.63% |
| Benchmark | 11.08% |
Sharpe (annualized)
| Portfolio | 0.37 |
| Benchmark | 0.44 |
Excess Return (annualized)
| -1.56% |
Tracking Error (annualized)
| 7.01% |
Information Ratio
| -0.22 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.10% | 11.99% |
| Sortino Ratio | 0.35 | 0.41 |
| Calmar Ratio | 0.15 | 0.22 |
| Ulcer Index | 15.08 | 15.18 |
| Max Drawdown | 21.26% | 22.16% |
| VaR (99% Confidence) | $-2,006 | $-2,577 |
| VaR (99.9% Confidence) | $-2,665 | $-3,423 |
| 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
| 6.36 |
Skew
| -0.51 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Market Factor | 0.3556 | 0.3556 |
| Style Factor | -0.0051 | -0.0051 |
| Size Factor | 0.0235 | 0.0235 |
| U.S. Tilt (Non U.S.) | -0.0666 | -0.0666 |
| Duration Factor | 0.9030 | 0.9030 |
| Yield Curve Factor | 0.0446 | 0.0446 |
| Inflation Factor | 0.4831 | 0.4831 |
Adjusted R2
| Portfolio | 0.89 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |