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
This portfolio is listed on the Community Portfolios page.
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 (4m 21d)
Returns
| Portfolio | 16.72% |
| Benchmark | 6.82% |
Risk (annualized)
| Portfolio | 14.46% |
| Benchmark | 6.91% |
Sharpe (annualized)
| Portfolio | 2.54 |
| Benchmark | 1.92 |
Excess Return
| 9.90% |
Tracking Error (annualized)
| 11.13% |
Information Ratio
| 2.70 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 14.40% | 7.42% |
| Sortino Ratio | 2.55 | 1.79 |
| Calmar Ratio | 5.97 | 4.06 |
| Ulcer Index | 15.63 | 15.79 |
| Max Drawdown | 6.14% | 3.28% |
| VaR (99% Confidence) | $-3,345 | $-1,600 |
| VaR (99.9% Confidence) | $-4,444 | $-2,125 |
| Beta to Benchmark | 1.39 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 0.66 |
Skew
| -0.24 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 1.3405 | 0.3257 | 1.0148 |
| Inflation Factor | 0.7405 | 0.0345 | 0.7060 |
| Market Factor | 0.7891 | 0.6175 | 0.1717 |
| Size Factor | 0.0677 | 0.0032 | 0.0645 |
| Style Factor | -0.0758 | -0.0030 | -0.0728 |
| U.S. Tilt (Non U.S.) | -0.7156 | -0.0080 | -0.7076 |
| Yield Curve Factor | 0.2189 | 0.0171 | 0.2019 |
Adjusted R2
| Portfolio | 0.56 |
| Benchmark | 1.00 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |