Levered Risk Parity
Portfolio Specification
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Equal Risk Contribution |
| Weights Algorithm Look-back | 3 Years |
| Weights Updating Interval | Quarterly |
Benchmark
Portfolio Description
Levered Risk Parity is likely too high-octane to hold as a total portfolio solution since this much leverage seems to create undue variance drag. However, it could be an interesting portfolio to embed as a sleeve in another portfolio. The “equal weight” construction showcases how a dynamic weighting algorithm can adapt allocation over time, allowing each asset class to leave an impact on the portfolio as a whole. Adding a risk-mitigating sleeve may be an interesting paring for this portfolio.
Policy Report
Backtest Report
From to (7y 5m 14d)
Returns (annualized)
| Portfolio | 7.03% |
| Benchmark | 6.24% |
Risk (annualized)
| Portfolio | 20.59% |
| Benchmark | 11.61% |
Sharpe (annualized)
| Portfolio | 0.32 |
| Benchmark | 0.37 |
Excess Return (annualized)
| 0.79% |
Tracking Error (annualized)
| 15.97% |
Information Ratio
| 0.05 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 22.02% | 12.46% |
| Sortino Ratio | 0.30 | 0.35 |
| Calmar Ratio | 0.15 | 0.20 |
| Ulcer Index | 13.72 | 15.15 |
| Max Drawdown | 42.24% | 22.16% |
| VaR (99% Confidence) | $-4,789 | $-2,700 |
| VaR (99.9% Confidence) | $-6,361 | $-3,586 |
| Beta to Benchmark | 1.13 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 7.49 |
Skew
| -0.41 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Duration Factor | 2.1042 | 2.1042 |
| Inflation Factor | 0.6921 | 0.6921 |
| Market Factor | 0.8032 | 0.8032 |
| Size Factor | -0.0536 | -0.0536 |
| Style Factor | 0.0782 | 0.0782 |
| U.S. Tilt (Non U.S.) | -0.1935 | -0.1935 |
| Yield Curve Factor | 0.3263 | 0.3263 |
Adjusted R2
| Portfolio | 0.84 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |