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 5m 15d)

Returns (annualized)

Portfolio 5.45%
Benchmark 6.92%

Risk (annualized)

Portfolio 14.35%
Benchmark 12.08%

Sharpe (annualized)

Portfolio 0.30
Benchmark 0.45

Excess Return (annualized)

-1.47%

Tracking Error (annualized)

14.14%

Risk Free Rate (annualized)

2.06%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.04

Skew

-0.21
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0292 -0.0292
Duration Factor 1.7299 1.7299
High Beta (Low Beta) -0.0453 -0.0453
Inflation Factor 0.6312 0.6312
Market Factor 0.3444 0.3444
Style Factor 0.0032 0.0032
U.S. Tilt (Non U.S.) -0.1803 -0.1803
Vol Factor 0.0063 0.0063
Vol Term Structure 0.1039 0.1039
Yield Curve Factor 0.2708 0.2708

Adjusted R2

Portfolio 0.73
Benchmark 0.60

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution