Risk Parity with Vol

Portfolio Specification

Assets

Levered Risk Parity75.00%
Long Volatility25.00%

Policy

Rebalancing Interval Monthly
Weights Algorithm Constant Weights

Benchmark

BlackRock Gwth Ptf Institutional (BIGPX)

Policy Report

Backtest Report

From to (7y 6m 4d)

Returns (annualized)

Portfolio 5.94%
Benchmark 6.44%

Risk (annualized)

Portfolio 14.31%
Benchmark 12.39%

Sharpe (annualized)

Portfolio 0.31
Benchmark 0.37

Excess Return (annualized)

-0.50%

Tracking Error (annualized)

14.19%

Information Ratio

-0.04
Statistic Portfolio Benchmark
Downside Volatility 15.26% 14.06%
Sortino Ratio 0.29 0.33
Calmar Ratio 0.13 0.21
Ulcer Index 14.16 15.09
Max Drawdown 32.90% 22.34%
VaR (99% Confidence) $-3,328 $-2,880
VaR (99.9% Confidence) $-4,421 $-3,826
Beta to Benchmark 0.51 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

3.99

Skew

-0.26
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0339 -0.0339
Duration Factor 1.6910 1.6910
High Beta (Low Beta) -0.0407 -0.0407
Inflation Factor 0.6552 0.6552
Market Factor 0.3714 0.3714
Style Factor -0.0134 -0.0134
U.S. Tilt (Non U.S.) -0.2079 -0.2079
Vol Factor 0.0132 0.0132
Vol Term Structure 0.1192 0.1192
Yield Curve Factor 0.2730 0.2730

Adjusted R2

Portfolio 0.72
Benchmark 0.60

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution