Levered Risk Parity

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Risk Contribution
Weights Algorithm Look-back 3 Years
Weights Updating Interval Quarterly
Benchmark
SPDR S&P 500 ETF Trust (SPY)

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 (6y 3m 20d )

Returns (annualized)

Portfolio 6.11%
Benchmark 13.43%

Risk (annualized)

Portfolio 20.74%
Benchmark 20.00%

Sharpe (annualized)

Portfolio 0.30
Benchmark 0.63

Excess Return (annualized)

-7.33%

Tracking Error (annualized)

21.77%

Risk Free Rate (annualized)

1.98%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

7.73

Skew

-0.49
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Duration Factor 1.8283 1.8283
Inflation Factor 0.5738 0.5738
Market Factor 0.8045 0.8045
Size Factor -0.0676 -0.0676
Style Factor 0.1082 0.1082
U.S. Tilt (Non U.S.) -0.1778 -0.1778
Yield Curve Factor 0.3803 0.3803

Adjusted R2

Portfolio 0.85
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution