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 6m 25d)

Returns (annualized)

Portfolio 8.41%
Benchmark 8.33%

Risk (annualized)

Portfolio 14.13%
Benchmark 12.03%

Sharpe (annualized)

Portfolio 0.46
Benchmark 0.51

Excess Return (annualized)

0.08%

Tracking Error (annualized)

13.91%

Information Ratio

0.01
Statistic Portfolio Benchmark
Downside Volatility 15.15% 13.58%
Sortino Ratio 0.43 0.45
Calmar Ratio 0.20 0.28
Ulcer Index 14.28 15.15
Max Drawdown 32.90% 22.34%
VaR (99% Confidence) $-3,285 $-2,796
VaR (99.9% Confidence) $-4,364 $-3,715
Beta to Benchmark 0.52 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.11

Skew

-0.35
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor -0.0429 -0.0973 0.0544
Duration Factor 1.6591 0.3417 1.3175
High Beta (Low Beta) -0.0464 0.0739 -0.1203
Inflation Factor 0.6981 0.0098 0.6883
Market Factor 0.3813 0.5064 -0.1251
Style Factor -0.0122 -0.0069 -0.0054
U.S. Tilt (Non U.S.) -0.2133 0.0833 -0.2966
Vol Factor 0.0187 -0.0014 0.0201
Vol Term Structure 0.1123 0.0649 0.0474
Yield Curve Factor 0.2666 0.0397 0.2269

Adjusted R2

Portfolio 0.68
Benchmark 0.62

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution