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 (6y 3m 19d )

Returns (annualized)

Portfolio 5.48%
Benchmark 7.29%

Risk (annualized)

Portfolio 14.46%
Benchmark 12.16%

Sharpe (annualized)

Portfolio 0.31
Benchmark 0.48

Excess Return (annualized)

-1.81%

Tracking Error (annualized)

14.31%

Risk Free Rate (annualized)

1.98%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

3.81

Skew

-0.16
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0403 -0.0403
Duration Factor 1.4791 1.4791
High Beta (Low Beta) -0.0550 -0.0550
Inflation Factor 0.5515 0.5515
Market Factor 0.3349 0.3349
Style Factor -0.0042 -0.0042
U.S. Tilt (Non U.S.) -0.2018 -0.2018
Vol Factor 0.0024 0.0024
Vol Term Structure 0.1024 0.1024
Yield Curve Factor 0.3143 0.3143

Adjusted R2

Portfolio 0.72
Benchmark 0.60

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution