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 8m 15d)

Returns (annualized)

Portfolio 5.68%
Benchmark 7.43%

Risk (annualized)

Portfolio 14.31%
Benchmark 11.97%

Sharpe (annualized)

Portfolio 0.31
Benchmark 0.48

Excess Return (annualized)

-1.75%

Tracking Error (annualized)

13.99%

Risk Free Rate (annualized)

2.18%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

3.94

Skew

-0.23
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0324 -0.0324
Duration Factor 1.7232 1.7232
High Beta (Low Beta) -0.0442 -0.0442
Inflation Factor 0.6377 0.6377
Market Factor 0.3485 0.3485
Style Factor 0.0006 0.0006
U.S. Tilt (Non U.S.) -0.1838 -0.1838
Vol Factor 0.0072 0.0072
Vol Term Structure 0.1046 0.1046
Yield Curve Factor 0.2686 0.2686

Adjusted R2

Portfolio 0.73
Benchmark 0.61

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution