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 (7y 2m 6d)

Returns (annualized)

Portfolio 5.68%
Benchmark 6.44%

Risk (annualized)

Portfolio 14.20%
Benchmark 12.14%

Sharpe (annualized)

Portfolio 0.30
Benchmark 0.38

Excess Return (annualized)

-0.76%

Tracking Error (annualized)

14.20%

Information Ratio

-0.05
Statistic Portfolio Benchmark
Downside Volatility 15.10% 13.85%
Sortino Ratio 0.28 0.34
Calmar Ratio 0.13 0.21
Ulcer Index 14.18 15.13
Max Drawdown 32.90% 22.34%
VaR (99% Confidence) $-3,301 $-2,824
VaR (99.9% Confidence) $-4,386 $-3,751
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

3.90

Skew

-0.25
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0327 -0.0327
Duration Factor 1.7101 1.7101
High Beta (Low Beta) -0.0413 -0.0413
Inflation Factor 0.6614 0.6614
Market Factor 0.3583 0.3583
Style Factor -0.0111 -0.0111
U.S. Tilt (Non U.S.) -0.1951 -0.1951
Vol Factor 0.0119 0.0119
Vol Term Structure 0.1130 0.1130
Yield Curve Factor 0.2662 0.2662

Adjusted R2

Portfolio 0.72
Benchmark 0.57

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution