Risk Parity with Vol

Statistic	Portfolio	Benchmark
Downside Volatility	15.14%	14.00%
Sortino Ratio	0.32	0.36
Calmar Ratio	0.15	0.23
Ulcer Index	14.16	15.09
Max Drawdown	32.90%	22.34%
VaR (99% Confidence)	$-3,311	$-2,862
VaR (99.9% Confidence)	$-4,398	$-3,802
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

Data Table

Factor Coefficients

Factor	Portfolio	Benchmark
Credit Factor	-0.0326	-0.0326
Duration Factor	1.6821	1.6821
High Beta (Low Beta)	-0.0427	-0.0427
Inflation Factor	0.6610	0.6610
Market Factor	0.3719	0.3719
Style Factor	-0.0136	-0.0136
U.S. Tilt (Non U.S.)	-0.2114	-0.2114
Vol Factor	0.0143	0.0143
Vol Term Structure	0.1172	0.1172
Yield Curve Factor	0.2712	0.2712

Factor Attribution