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 (8y 1m 17d)
Returns (annualized)
| Portfolio | 5.73% |
| Benchmark | 7.75% |
Risk (annualized)
| Portfolio | 8.69% |
| Benchmark | 11.22% |
Sharpe (annualized)
| Portfolio | 0.41 |
| Benchmark | 0.51 |
Excess Return (annualized)
| -2.02% |
Tracking Error (annualized)
| 7.02% |
Information Ratio
| -0.29 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.14% | 12.08% |
| Sortino Ratio | 0.39 | 0.47 |
| Calmar Ratio | 0.17 | 0.26 |
| Ulcer Index | 15.12 | 15.21 |
| Max Drawdown | 21.26% | 22.16% |
| VaR (99% Confidence) | $-2,021 | $-2,609 |
| VaR (99.9% Confidence) | $-2,685 | $-3,466 |
| 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
| 6.72 |
Skew
| -0.43 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 0.3559 | 0.6195 | -0.2636 |
| Style Factor | -0.0055 | -0.0016 | -0.0039 |
| Size Factor | 0.0240 | 0.0157 | 0.0084 |
| U.S. Tilt (Non U.S.) | -0.0712 | -0.0135 | -0.0577 |
| Duration Factor | 0.8909 | 0.3305 | 0.5605 |
| Yield Curve Factor | 0.0473 | 0.0205 | 0.0268 |
| Inflation Factor | 0.4840 | 0.0304 | 0.4535 |
Adjusted R2
| Portfolio | 0.88 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |