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 7m 21d)
Returns (annualized)
| Portfolio | 5.21% |
| Benchmark | 7.01% |
Risk (annualized)
| Portfolio | 8.65% |
| Benchmark | 11.09% |
Sharpe (annualized)
| Portfolio | 0.37 |
| Benchmark | 0.46 |
Excess Return (annualized)
| -1.80% |
Tracking Error (annualized)
| 7.02% |
Information Ratio
| -0.26 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.12% | 12.01% |
| Sortino Ratio | 0.35 | 0.43 |
| Calmar Ratio | 0.15 | 0.23 |
| Ulcer Index | 15.08 | 15.18 |
| Max Drawdown | 21.26% | 22.16% |
| VaR (99% Confidence) | $-2,010 | $-2,579 |
| VaR (99.9% Confidence) | $-2,671 | $-3,426 |
| 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
| 6.37 |
Skew
| -0.51 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Market Factor | 0.3548 | 0.3548 |
| Style Factor | -0.0043 | -0.0043 |
| Size Factor | 0.0236 | 0.0236 |
| U.S. Tilt (Non U.S.) | -0.0659 | -0.0659 |
| Duration Factor | 0.9042 | 0.9042 |
| Yield Curve Factor | 0.0436 | 0.0436 |
| Inflation Factor | 0.4837 | 0.4837 |
Adjusted R2
| Portfolio | 0.89 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |