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 4m 7d)
Returns (annualized)
| Portfolio | 6.08% |
| Benchmark | 7.79% |
Risk (annualized)
| Portfolio | 8.65% |
| Benchmark | 11.13% |
Sharpe (annualized)
| Portfolio | 0.44 |
| Benchmark | 0.51 |
Excess Return (annualized)
| -1.71% |
Tracking Error (annualized)
| 6.97% |
Information Ratio
| -0.24 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.09% | 12.00% |
| Sortino Ratio | 0.42 | 0.47 |
| Calmar Ratio | 0.18 | 0.26 |
| Ulcer Index | 15.14 | 15.22 |
| Max Drawdown | 21.26% | 22.16% |
| VaR (99% Confidence) | $-2,010 | $-2,587 |
| VaR (99.9% Confidence) | $-2,670 | $-3,437 |
| Beta to Benchmark | 0.61 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 6.70 |
Skew
| -0.43 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 0.3562 | 0.6195 | -0.2633 |
| Style Factor | -0.0074 | -0.0017 | -0.0057 |
| Size Factor | 0.0269 | 0.0154 | 0.0116 |
| U.S. Tilt (Non U.S.) | -0.0749 | -0.0134 | -0.0614 |
| Duration Factor | 0.8870 | 0.3304 | 0.5565 |
| Yield Curve Factor | 0.0464 | 0.0204 | 0.0260 |
| Inflation Factor | 0.4838 | 0.0306 | 0.4532 |
Adjusted R2
| Portfolio | 0.88 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |