Levered Risk Parity

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Risk Contribution
Weights Algorithm Look-back 3 Years
Weights Updating Interval Quarterly
Benchmark
Simple 60/40

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 4m 22d)

Returns (annualized)

Portfolio 7.69%
Benchmark 6.44%

Risk (annualized)

Portfolio 20.17%
Benchmark 11.31%

Sharpe (annualized)

Portfolio 0.35
Benchmark 0.40

Excess Return (annualized)

1.25%

Tracking Error (annualized)

15.88%

Information Ratio

0.08
Statistic Portfolio Benchmark
Downside Volatility 21.60% 12.20%
Sortino Ratio 0.33 0.37
Calmar Ratio 0.17 0.20
Ulcer Index 13.73 15.15
Max Drawdown 42.24% 22.16%
VaR (99% Confidence) $-4,691 $-2,630
VaR (99.9% Confidence) $-6,231 $-3,494
Beta to Benchmark 1.10 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

7.48

Skew

-0.49
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Duration Factor 2.1185 2.1185
Inflation Factor 0.7083 0.7083
Market Factor 0.7955 0.7955
Size Factor -0.0549 -0.0549
Style Factor 0.0800 0.0800
U.S. Tilt (Non U.S.) -0.1883 -0.1883
Yield Curve Factor 0.3193 0.3193

Adjusted R2

Portfolio 0.84
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution