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 5m 14d)

Returns (annualized)

Portfolio 6.25%
Benchmark 5.89%

Risk (annualized)

Portfolio 14.33%
Benchmark 12.41%

Sharpe (annualized)

Portfolio 0.33
Benchmark 0.33

Excess Return (annualized)

0.36%

Tracking Error (annualized)

14.17%

Information Ratio

0.03
Statistic Portfolio Benchmark
Downside Volatility 15.27% 14.07%
Sortino Ratio 0.31 0.29
Calmar Ratio 0.14 0.18
Ulcer Index 14.16 15.10
Max Drawdown 32.90% 22.34%
VaR (99% Confidence) $-3,332 $-2,886
VaR (99.9% Confidence) $-4,426 $-3,833
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

4.01

Skew

-0.26
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0366 -0.0366
Duration Factor 1.6911 1.6911
High Beta (Low Beta) -0.0403 -0.0403
Inflation Factor 0.6522 0.6522
Market Factor 0.3714 0.3714
Style Factor -0.0138 -0.0138
U.S. Tilt (Non U.S.) -0.2034 -0.2034
Vol Factor 0.0130 0.0130
Vol Term Structure 0.1191 0.1191
Yield Curve Factor 0.2732 0.2732

Adjusted R2

Portfolio 0.72
Benchmark 0.60

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution