Risk Parity with Vol
Specification
Policy
| Rebalancing Interval | Monthly |
|---|---|
| Weights Algorithm | Constant Weights |
Assets
| Levered Risk Parity | 75.00% |
| Long Volatility | 25.00% |
Benchmark
| BlackRock Gwth Ptf Institutional (BIGPX) |
| Asset Name | Inception | Last Time | Type |
|---|---|---|---|
| Levered Risk Parity | 2017-11-10 | 2025-04-04 | Portfolio |
| Long Volatility | 2012-10-05 | 2025-04-04 | Portfolio |
| Asset Name | # | 1 | 2 |
|---|---|---|---|
| Levered Risk Parity | 1 | 1.00 | -0.33 |
| Long Volatility | 2 | -0.33 | 1.00 |
| Asset Name | 1 Day | 1 Week | 1 Month | 1 Quarter | 1 Year (annualized) |
5 Years (annualized) |
Since Inception (annualized) |
Inception |
|---|---|---|---|---|---|---|---|---|
| Levered Risk Parity | -5.27% | -6.31% | -6.29% | 2.72% | 3.61% | 5.48% | 6.44% | 2017-11-10 |
| Long Volatility | 0.66% | 4.61% | 5.88% | 13.72% | 9.07% | -3.86% | -1.55% | 2012-10-05 |
| Asset Name | 1 Week | 1 Month | 1 Quarter | 1 Year |
5 Years |
Since Inception |
Inception |
|---|---|---|---|---|---|---|---|
| Levered Risk Parity | 48.14% | 25.67% | 19.91% | 18.08% | 20.58% | 20.30% | 2017-11-10 |
| Long Volatility | 36.29% | 24.54% | 18.97% | 16.72% | 14.34% | 12.74% | 2012-10-05 |
Policy Report
From to (7y 4m 25d)
Expected Risk (annualized)
| 14.40% |
Unique Number of Bets
| 1.74 |
| Asset | Policy Weight |
Risk Weight |
Risk Contribution (annualized) |
|---|---|---|---|
| Levered Risk Parity | 75.00% | 102.37% | 14.75% |
| Long Volatility | 25.00% | -2.37% | -0.34% |
| Total | 100.00% | 100.00% | 14.40% |
Backtest Report
From to (7y 4m 24d)
Returns (annualized)
| Portfolio | 6.51% |
| Benchmark | 5.78% |
Risk (annualized)
| Portfolio | 14.11% |
| Benchmark | 12.12% |
Sharpe (annualized)
| Portfolio | 0.35 |
| Benchmark | 0.33 |
Excess Return (annualized)
| 0.74% |
Tracking Error (annualized)
| 14.10% |
Information Ratio
| 0.05 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 15.02% | 13.86% |
| Sortino Ratio | 0.33 | 0.29 |
| Calmar Ratio | 0.15 | 0.18 |
| Ulcer Index | 14.17 | 15.11 |
| Max Drawdown | 32.90% | 22.34% |
| VaR (99% Confidence) | $-3,281 | $-2,819 |
| VaR (99.9% Confidence) | $-4,358 | $-3,745 |
| Beta to Benchmark | 0.50 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Assets and Portfolio
Portfolio, Factor Model, and Benchmark
Portfolio in Excess of Benchmark and Portfolio in Excess of Factor Model
Historical Weights
Return Distribution
Distribution of Return Values
Excess Kurtosis
| 3.91 |
Skew
| -0.26 |
Factor Coefficients
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | -0.0336 | -0.0336 |
| Duration Factor | 1.7005 | 1.7005 |
| High Beta (Low Beta) | -0.0359 | -0.0359 |
| Inflation Factor | 0.6583 | 0.6583 |
| Market Factor | 0.3591 | 0.3591 |
| Style Factor | -0.0119 | -0.0119 |
| U.S. Tilt (Non U.S.) | -0.1912 | -0.1912 |
| Vol Factor | 0.0108 | 0.0108 |
| Vol Term Structure | 0.1115 | 0.1115 |
| Yield Curve Factor | 0.2718 | 0.2718 |
Adjusted R2
| Portfolio | 0.72 |
| Benchmark | 0.58 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |