Risk Parity with Vol

Portfolio Specification

Assets

Levered Risk Parity 75.00%
Long Volatility 25.00%

Policy

Rebalancing Interval Monthly
Weights Algorithm Constant Weights

Benchmark

BlackRock Gwth Ptf Institutional (BIGPX)

This portfolio is listed on the Community Portfolios page.

Policy Report

Backtest Report

From to (8y)

Returns (annualized)

Portfolio 7.42%
Benchmark 7.60%

Risk (annualized)

Portfolio 14.08%
Benchmark 12.11%

Sharpe (annualized)

Portfolio 0.40
Benchmark 0.46

Excess Return (annualized)

-0.18%

Tracking Error (annualized)

13.97%

Information Ratio

-0.01
Statistic Portfolio Benchmark
Downside Volatility 14.95% 13.76%
Sortino Ratio 0.38 0.40
Calmar Ratio 0.17 0.25
Ulcer Index 14.19 15.11
Max Drawdown 32.90% 22.34%
VaR (99% Confidence) $-3,273 $-2,816
VaR (99.9% Confidence) $-4,348 $-3,741
Beta to Benchmark 0.51 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.06

Skew

-0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor -0.0334 -0.0875 0.0541
Duration Factor 1.6736 0.3393 1.3343
High Beta (Low Beta) -0.0436 0.0706 -0.1142
Inflation Factor 0.6641 0.0224 0.6417
Market Factor 0.3724 0.4935 -0.1212
Style Factor -0.0157 -0.0064 -0.0093
U.S. Tilt (Non U.S.) -0.2175 0.0981 -0.3156
Vol Factor 0.0144 -0.0020 0.0164
Vol Term Structure 0.1148 0.0650 0.0497
Yield Curve Factor 0.2691 0.0387 0.2304

Adjusted R2

Portfolio 0.71
Benchmark 0.60

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution