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 4m 18d)

Returns (annualized)

Portfolio 6.50%
Benchmark 6.03%

Risk (annualized)

Portfolio 14.10%
Benchmark 12.10%

Sharpe (annualized)

Portfolio 0.35
Benchmark 0.35

Excess Return (annualized)

0.47%

Tracking Error (annualized)

14.11%

Information Ratio

0.03
Statistic Portfolio Benchmark
Downside Volatility 15.00% 13.79%
Sortino Ratio 0.33 0.31
Calmar Ratio 0.15 0.19
Ulcer Index 14.17 15.11
Max Drawdown 32.90% 22.34%
VaR (99% Confidence) $-3,279 $-2,813
VaR (99.9% Confidence) $-4,356 $-3,737
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

-0.26
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0330 -0.0330
Duration Factor 1.7006 1.7006
High Beta (Low Beta) -0.0404 -0.0404
Inflation Factor 0.6629 0.6629
Market Factor 0.3587 0.3587
Style Factor -0.0145 -0.0145
U.S. Tilt (Non U.S.) -0.1992 -0.1992
Vol Factor 0.0116 0.0116
Vol Term Structure 0.1113 0.1113
Yield Curve Factor 0.2667 0.2667

Adjusted R2

Portfolio 0.72
Benchmark 0.58

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution