Risk Parity with Vol

Portfolio Specification

Assets

Levered Risk Parity 75.00%
Long Volatility 25.00%

Policy

Rebalancing Interval Monthly
Weights Algorithm Constant Weights

This portfolio is listed on the Community Portfolios page.

Policy Report

Backtest Report

From to (7y 9m 18d)

Returns (annualized)

Portfolio 6.51%
Benchmark 7.23%

Risk (annualized)

Portfolio 14.16%
Benchmark 12.23%

Sharpe (annualized)

Portfolio 0.34
Benchmark 0.43

Excess Return (annualized)

-0.72%

Tracking Error (annualized)

14.05%

Information Ratio

-0.05
Statistic Portfolio Benchmark
Downside Volatility 15.02% 13.88%
Sortino Ratio 0.32 0.38
Calmar Ratio 0.15 0.24
Ulcer Index 14.16 15.09
Max Drawdown 32.90% 22.34%
VaR (99% Confidence) $-3,293 $-2,843
VaR (99.9% Confidence) $-4,374 $-3,777
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

4.04

Skew

-0.26
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor -0.0327 -0.0879 0.0552
Duration Factor 1.6802 0.3380 1.3422
High Beta (Low Beta) -0.0439 0.0748 -0.1188
Inflation Factor 0.6629 0.0229 0.6400
Market Factor 0.3708 0.4938 -0.1230
Style Factor -0.0136 -0.0062 -0.0074
U.S. Tilt (Non U.S.) -0.2110 0.0991 -0.3101
Vol Factor 0.0143 -0.0023 0.0165
Vol Term Structure 0.1169 0.0683 0.0486
Yield Curve Factor 0.2709 0.0371 0.2338

Adjusted R2

Portfolio 0.72
Benchmark 0.61

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution