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 12d)
Returns (annualized)
| Portfolio | 6.72% |
| Benchmark | 5.95% |
Risk (annualized)
| Portfolio | 20.58% |
| Benchmark | 11.60% |
Sharpe (annualized)
| Portfolio | 0.30 |
| Benchmark | 0.35 |
Excess Return (annualized)
| 0.77% |
Tracking Error (annualized)
| 15.97% |
Information Ratio
| 0.05 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 22.04% | 12.46% |
| Sortino Ratio | 0.28 | 0.33 |
| Calmar Ratio | 0.15 | 0.18 |
| Ulcer Index | 13.72 | 15.15 |
| Max Drawdown | 42.24% | 22.16% |
| VaR (99% Confidence) | $-4,787 | $-2,698 |
| VaR (99.9% Confidence) | $-6,359 | $-3,584 |
| 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
| 7.51 |
Skew
| -0.42 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Duration Factor | 2.1055 | 2.1055 |
| Inflation Factor | 0.6937 | 0.6937 |
| Market Factor | 0.8033 | 0.8033 |
| Size Factor | -0.0534 | -0.0534 |
| Style Factor | 0.0773 | 0.0773 |
| U.S. Tilt (Non U.S.) | -0.1919 | -0.1919 |
| Yield Curve Factor | 0.3280 | 0.3280 |
Adjusted R2
| Portfolio | 0.84 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |