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 (7y 2m 4d)

Returns (annualized)

Portfolio 5.36%
Benchmark 6.23%

Risk (annualized)

Portfolio 14.19%
Benchmark 12.14%

Sharpe (annualized)

Portfolio 0.28
Benchmark 0.37

Excess Return (annualized)

-0.86%

Tracking Error (annualized)

14.20%

Information Ratio

-0.06
Statistic Portfolio Benchmark
Downside Volatility 15.10% 13.85%
Sortino Ratio 0.26 0.32
Calmar Ratio 0.12 0.20
Ulcer Index 14.18 15.13
Max Drawdown 32.90% 22.34%
VaR (99% Confidence) $-3,299 $-2,823
VaR (99.9% Confidence) $-4,383 $-3,750
Beta to Benchmark 0.50 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

3.92

Skew

-0.25
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0326 -0.0326
Duration Factor 1.7097 1.7097
High Beta (Low Beta) -0.0412 -0.0412
Inflation Factor 0.6616 0.6616
Market Factor 0.3582 0.3582
Style Factor -0.0112 -0.0112
U.S. Tilt (Non U.S.) -0.1952 -0.1952
Vol Factor 0.0120 0.0120
Vol Term Structure 0.1130 0.1130
Yield Curve Factor 0.2663 0.2663

Adjusted R2

Portfolio 0.72
Benchmark 0.57

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution