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 14d)
Returns (annualized)
| Portfolio | 4.79% |
| Benchmark | 6.76% |
Risk (annualized)
| Portfolio | 8.74% |
| Benchmark | 11.30% |
Sharpe (annualized)
| Portfolio | 0.34 |
| Benchmark | 0.45 |
Excess Return (annualized)
| -1.97% |
Tracking Error (annualized)
| 7.19% |
Risk Free Rate (annualized)
| 2.13% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 6.56 |
Skew
| -0.53 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Market Factor | 0.3553 | 0.3553 |
| Style Factor | 0.0057 | 0.0057 |
| Size Factor | 0.0206 | 0.0206 |
| U.S. Tilt (Non U.S.) | -0.0572 | -0.0572 |
| Duration Factor | 0.9191 | 0.9191 |
| Yield Curve Factor | 0.0455 | 0.0455 |
| Inflation Factor | 0.4705 | 0.4705 |
Adjusted R2
| Portfolio | 0.89 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |