Risk Parity with Vol

Specification

Policy
Rebalancing Interval Monthly
Weights Algorithm Constant Weights
Benchmark
BlackRock Gwth Ptf Institutional (BIGPX)

Policy Report

Backtest Report

From to (7y 2m 4d)

Returns (annualized)

Portfolio 5.36%
Benchmark 6.23%

Risk (annualized)

Portfolio 14.19%
Benchmark 12.14%

Sharpe (annualized)

Portfolio 0.28
Benchmark 0.37

Excess Return (annualized)

-0.86%

Tracking Error (annualized)

14.20%

Information Ratio

-0.06
Statistic Portfolio Benchmark
Downside Volatility 15.10% 13.85%
Sortino Ratio 0.26 0.32
Calmar Ratio 0.12 0.20
Ulcer Index 14.18 15.13
Max Drawdown 32.90% 22.34%
VaR (99% Confidence) $-3,299 $-2,823
VaR (99.9% Confidence) $-4,383 $-3,750
Beta to Benchmark 0.50 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

3.92

Skew

-0.25
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0326 -0.0326
Duration Factor 1.7097 1.7097
High Beta (Low Beta) -0.0412 -0.0412
Inflation Factor 0.6616 0.6616
Market Factor 0.3582 0.3582
Style Factor -0.0112 -0.0112
U.S. Tilt (Non U.S.) -0.1952 -0.1952
Vol Factor 0.0120 0.0120
Vol Term Structure 0.1130 0.1130
Yield Curve Factor 0.2663 0.2663

Adjusted R2

Portfolio 0.72
Benchmark 0.57

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution