Risk Parity with Vol

Portfolio Specification

Assets

Levered Risk Parity75.00%
Long Volatility25.00%

Policy

Rebalancing Interval Monthly
Weights Algorithm Constant Weights

Benchmark

BlackRock Gwth Ptf Institutional (BIGPX)

Policy Report

Backtest Report

From to (7y 5m 12d)

Returns (annualized)

Portfolio 6.15%
Benchmark 5.54%

Risk (annualized)

Portfolio 14.33%
Benchmark 12.40%

Sharpe (annualized)

Portfolio 0.32
Benchmark 0.31

Excess Return (annualized)

0.60%

Tracking Error (annualized)

14.16%

Information Ratio

0.04
Statistic Portfolio Benchmark
Downside Volatility 15.28% 14.07%
Sortino Ratio 0.30 0.27
Calmar Ratio 0.14 0.17
Ulcer Index 14.17 15.10
Max Drawdown 32.90% 22.34%
VaR (99% Confidence) $-3,331 $-2,883
VaR (99.9% Confidence) $-4,425 $-3,830
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

4.01

Skew

-0.26
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0369 -0.0369
Duration Factor 1.6927 1.6927
High Beta (Low Beta) -0.0389 -0.0389
Inflation Factor 0.6536 0.6536
Market Factor 0.3720 0.3720
Style Factor -0.0142 -0.0142
U.S. Tilt (Non U.S.) -0.2015 -0.2015
Vol Factor 0.0132 0.0132
Vol Term Structure 0.1193 0.1193
Yield Curve Factor 0.2749 0.2749

Adjusted R2

Portfolio 0.72
Benchmark 0.60

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution