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 12d)

Returns (annualized)

Portfolio 6.09%
Benchmark 6.39%

Risk (annualized)

Portfolio 14.30%
Benchmark 12.38%

Sharpe (annualized)

Portfolio 0.32
Benchmark 0.37

Excess Return (annualized)

-0.30%

Tracking Error (annualized)

14.18%

Information Ratio

-0.02
Statistic Portfolio Benchmark
Downside Volatility 15.24% 14.04%
Sortino Ratio 0.30 0.33
Calmar Ratio 0.14 0.20
Ulcer Index 14.16 15.09
Max Drawdown 32.90% 22.34%
VaR (99% Confidence) $-3,326 $-2,878
VaR (99.9% Confidence) $-4,418 $-3,823
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 -0.0347 -0.0347
Duration Factor 1.6879 1.6879
High Beta (Low Beta) -0.0418 -0.0418
Inflation Factor 0.6540 0.6540
Market Factor 0.3716 0.3716
Style Factor -0.0140 -0.0140
U.S. Tilt (Non U.S.) -0.2110 -0.2110
Vol Factor 0.0132 0.0132
Vol Term Structure 0.1193 0.1193
Yield Curve Factor 0.2721 0.2721

Adjusted R2

Portfolio 0.72
Benchmark 0.60

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution