Risk Parity with Vol

Specification

Policy
Rebalancing Interval Monthly
Weights Algorithm Constant Weights
Assets
Levered Risk Parity75.00%
Long Volatility25.00%
Benchmark
BlackRock Gwth Ptf Institutional (BIGPX)

Policy Report

Backtest Report

From to (7y 1m 9d)

Returns (annualized)

Portfolio 5.32%
Benchmark 7.64%

Risk (annualized)

Portfolio 14.24%
Benchmark 11.84%

Sharpe (annualized)

Portfolio 0.27
Benchmark 0.49

Excess Return (annualized)

-2.32%

Tracking Error (annualized)

13.91%

Information Ratio

-0.17
Statistic Portfolio Benchmark
Downside Volatility 15.16% 13.19%
Sortino Ratio 0.26 0.44
Calmar Ratio 0.12 0.26
Ulcer Index 14.20 15.14
Max Drawdown 32.90% 22.34%
VaR (99% Confidence) $-3,311 $-2,753
VaR (99.9% Confidence) $-4,398 $-3,657
Beta to Benchmark 0.53 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

3.88

Skew

-0.25
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0357 -0.0357
Duration Factor 1.7120 1.7120
High Beta (Low Beta) -0.0425 -0.0425
Inflation Factor 0.6578 0.6578
Market Factor 0.3590 0.3590
Style Factor -0.0117 -0.0117
U.S. Tilt (Non U.S.) -0.1955 -0.1955
Vol Factor 0.0115 0.0115
Vol Term Structure 0.1130 0.1130
Yield Curve Factor 0.2648 0.2648

Adjusted R2

Portfolio 0.72
Benchmark 0.61

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution