Risk Parity with Vol

Specification

Policy
Rebalancing Interval Monthly
Weights Algorithm Constant Weights
Benchmark
BlackRock Gwth Ptf Institutional (BIGPX)

Policy Report

Backtest Report

From to (6y 7m 7d)

Returns (annualized)

Portfolio 6.03%
Benchmark 7.77%

Risk (annualized)

Portfolio 14.33%
Benchmark 12.01%

Sharpe (annualized)

Portfolio 0.33
Benchmark 0.51

Excess Return (annualized)

-1.74%

Tracking Error (annualized)

14.03%

Risk Free Rate (annualized)

2.13%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.00

Skew

-0.23
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0316 -0.0316
Duration Factor 1.7249 1.7249
High Beta (Low Beta) -0.0428 -0.0428
Inflation Factor 0.6339 0.6339
Market Factor 0.3475 0.3475
Style Factor 0.0019 0.0019
U.S. Tilt (Non U.S.) -0.1809 -0.1809
Vol Factor 0.0069 0.0069
Vol Term Structure 0.1038 0.1038
Yield Curve Factor 0.2696 0.2696

Adjusted R2

Portfolio 0.73
Benchmark 0.61

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution