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 (6y 9m 14d)
Returns (annualized)
| Portfolio | 4.46% |
|---|---|
| Benchmark | 6.25% |
Risk (annualized)
| Portfolio | 8.75% |
|---|---|
| Benchmark | 11.41% |
Sharpe (annualized)
| Portfolio | 0.32 |
|---|---|
| Benchmark | 0.41 |
Excess Return (annualized)
| -1.79% |
Tracking Error (annualized)
| 7.29% |
Risk Free Rate (annualized)
| 2.01% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 6.75 |
Skew
| -0.52 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Market Factor | 0.3549 | 0.3549 |
| Style Factor | 0.0076 | 0.0076 |
| Size Factor | 0.0188 | 0.0188 |
| U.S. Tilt (Non U.S.) | -0.0544 | -0.0544 |
| Duration Factor | 0.9221 | 0.9221 |
| Yield Curve Factor | 0.0468 | 0.0468 |
| Inflation Factor | 0.4692 | 0.4692 |
Adjusted R2
| Portfolio | 0.90 |
|---|---|
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
|---|---|
| Benchmark | 0.00 |