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 3m 10d)

Returns (annualized)

Portfolio 6.49%
Benchmark 6.79%

Risk (annualized)

Portfolio 14.15%
Benchmark 12.10%

Sharpe (annualized)

Portfolio 0.35
Benchmark 0.41

Excess Return (annualized)

-0.31%

Tracking Error (annualized)

14.13%

Information Ratio

-0.02
Statistic Portfolio Benchmark
Downside Volatility 15.06% 13.81%
Sortino Ratio 0.33 0.36
Calmar Ratio 0.15 0.22
Ulcer Index 14.17 15.12
Max Drawdown 32.90% 22.34%
VaR (99% Confidence) $-3,291 $-2,813
VaR (99.9% Confidence) $-4,372 $-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

3.91

Skew

-0.25
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0333 -0.0333
Duration Factor 1.7062 1.7062
High Beta (Low Beta) -0.0411 -0.0411
Inflation Factor 0.6633 0.6633
Market Factor 0.3584 0.3584
Style Factor -0.0125 -0.0125
U.S. Tilt (Non U.S.) -0.1960 -0.1960
Vol Factor 0.0119 0.0119
Vol Term Structure 0.1119 0.1119
Yield Curve Factor 0.2665 0.2665

Adjusted R2

Portfolio 0.72
Benchmark 0.57

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution