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 4m 11d)

Returns (annualized)

Portfolio 6.50%
Benchmark 6.21%

Risk (annualized)

Portfolio 14.11%
Benchmark 12.10%

Sharpe (annualized)

Portfolio 0.35
Benchmark 0.36

Excess Return (annualized)

0.28%

Tracking Error (annualized)

14.10%

Information Ratio

0.02
Statistic Portfolio Benchmark
Downside Volatility 15.01% 13.80%
Sortino Ratio 0.33 0.32
Calmar Ratio 0.15 0.20
Ulcer Index 14.17 15.11
Max Drawdown 32.90% 22.34%
VaR (99% Confidence) $-3,282 $-2,814
VaR (99.9% Confidence) $-4,360 $-3,738
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

3.92

Skew

-0.25
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.0329 -0.0329
Duration Factor 1.7006 1.7006
High Beta (Low Beta) -0.0397 -0.0397
Inflation Factor 0.6614 0.6614
Market Factor 0.3589 0.3589
Style Factor -0.0143 -0.0143
U.S. Tilt (Non U.S.) -0.1983 -0.1983
Vol Factor 0.0117 0.0117
Vol Term Structure 0.1114 0.1114
Yield Curve Factor 0.2670 0.2670

Adjusted R2

Portfolio 0.72
Benchmark 0.58

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution