Risk Parity with Vol

Portfolio Specification

Assets

Levered Risk Parity 75.00%
Long Volatility 25.00%

Policy

Rebalancing Interval Monthly
Weights Algorithm Constant Weights

This portfolio is listed on the Community Portfolios page.

Policy Report

Backtest Report

From to (7y 8m 22d)

Returns (annualized)

Portfolio 6.36%
Benchmark 6.90%

Risk (annualized)

Portfolio 14.21%
Benchmark 12.27%

Sharpe (annualized)

Portfolio 0.33
Benchmark 0.41

Excess Return (annualized)

-0.54%

Tracking Error (annualized)

14.10%

Information Ratio

-0.04
Statistic Portfolio Benchmark
Downside Volatility 15.10% 13.94%
Sortino Ratio 0.31 0.36
Calmar Ratio 0.14 0.22
Ulcer Index 14.16 15.09
Max Drawdown 32.90% 22.34%
VaR (99% Confidence) $-3,305 $-2,852
VaR (99.9% Confidence) $-4,390 $-3,789
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

4.00

Skew

-0.26
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0329 -0.0329
Duration Factor 1.6816 1.6816
High Beta (Low Beta) -0.0429 -0.0429
Inflation Factor 0.6629 0.6629
Market Factor 0.3712 0.3712
Style Factor -0.0131 -0.0131
U.S. Tilt (Non U.S.) -0.2105 -0.2105
Vol Factor 0.0142 0.0142
Vol Term Structure 0.1176 0.1176
Yield Curve Factor 0.2706 0.2706

Adjusted R2

Portfolio 0.72
Benchmark 0.60

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution