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 (6y 10m)

Returns (annualized)

Portfolio 6.44%
Benchmark 7.74%

Risk (annualized)

Portfolio 14.32%
Benchmark 11.97%

Sharpe (annualized)

Portfolio 0.35
Benchmark 0.50

Excess Return (annualized)

-1.30%

Tracking Error (annualized)

13.96%

Information Ratio

-0.09
Statistic Portfolio Benchmark
Downside Volatility 15.24% 13.30%
Sortino Ratio 0.33 0.45
Calmar Ratio 0.15 0.27
Ulcer Index 14.23 15.11
Max Drawdown 32.90% 22.34%
VaR (99% Confidence) $-3,331 $-2,784
VaR (99.9% Confidence) $-4,424 $-3,698
Beta to Benchmark 0.54 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 -0.0350 -0.0350
Duration Factor 1.7261 1.7261
High Beta (Low Beta) -0.0411 -0.0411
Inflation Factor 0.6427 0.6427
Market Factor 0.3566 0.3566
Style Factor -0.0004 -0.0004
U.S. Tilt (Non U.S.) -0.1852 -0.1852
Vol Factor 0.0100 0.0100
Vol Term Structure 0.1126 0.1126
Yield Curve Factor 0.2705 0.2705

Adjusted R2

Portfolio 0.73
Benchmark 0.61

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution