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 9d)

Returns (annualized)

Portfolio 5.72%
Benchmark 7.84%

Risk (annualized)

Portfolio 14.27%
Benchmark 11.87%

Sharpe (annualized)

Portfolio 0.30
Benchmark 0.50

Excess Return (annualized)

-2.12%

Tracking Error (annualized)

13.93%

Information Ratio

-0.15
Statistic Portfolio Benchmark
Downside Volatility 15.17% 13.17%
Sortino Ratio 0.28 0.45
Calmar Ratio 0.13 0.27
Ulcer Index 14.21 15.13
Max Drawdown 32.90% 22.34%
VaR (99% Confidence) $-3,319 $-2,759
VaR (99.9% Confidence) $-4,409 $-3,665
Beta to Benchmark 0.53 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

3.87

Skew

-0.25
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0350 -0.0350
Duration Factor 1.7212 1.7212
High Beta (Low Beta) -0.0397 -0.0397
Inflation Factor 0.6491 0.6491
Market Factor 0.3587 0.3587
Style Factor -0.0085 -0.0085
U.S. Tilt (Non U.S.) -0.1945 -0.1945
Vol Factor 0.0109 0.0109
Vol Term Structure 0.1122 0.1122
Yield Curve Factor 0.2678 0.2678

Adjusted R2

Portfolio 0.73
Benchmark 0.61

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution