Risk Parity with Vol

Portfolio Specification

Assets

Levered Risk Parity75.00%
Long Volatility25.00%

Policy

Rebalancing Interval Monthly
Weights Algorithm Constant Weights

Benchmark

BlackRock Gwth Ptf Institutional (BIGPX)

Policy Report

Backtest Report

From to (7y 7m 2d)

Returns (annualized)

Portfolio 6.64%
Benchmark 6.74%

Risk (annualized)

Portfolio 14.28%
Benchmark 12.34%

Sharpe (annualized)

Portfolio 0.35
Benchmark 0.39

Excess Return (annualized)

-0.10%

Tracking Error (annualized)

14.15%

Information Ratio

-0.01
Statistic Portfolio Benchmark
Downside Volatility 15.21% 14.03%
Sortino Ratio 0.33 0.35
Calmar Ratio 0.15 0.22
Ulcer Index 14.16 15.09
Max Drawdown 32.90% 22.34%
VaR (99% Confidence) $-3,320 $-2,870
VaR (99.9% Confidence) $-4,411 $-3,813
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

3.99

Skew

-0.26
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0355 -0.0355
Duration Factor 1.6833 1.6833
High Beta (Low Beta) -0.0421 -0.0421
Inflation Factor 0.6532 0.6532
Market Factor 0.3730 0.3730
Style Factor -0.0146 -0.0146
U.S. Tilt (Non U.S.) -0.2146 -0.2146
Vol Factor 0.0136 0.0136
Vol Term Structure 0.1183 0.1183
Yield Curve Factor 0.2710 0.2710

Adjusted R2

Portfolio 0.72
Benchmark 0.60

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution