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 8m)
Returns (annualized)
| Portfolio | 7.83% |
| Benchmark | 7.20% |
Risk (annualized)
| Portfolio | 20.43% |
| Benchmark | 11.51% |
Sharpe (annualized)
| Portfolio | 0.35 |
| Benchmark | 0.45 |
Excess Return (annualized)
| 0.63% |
Tracking Error (annualized)
| 15.89% |
Information Ratio
| 0.04 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 21.80% | 12.37% |
| Sortino Ratio | 0.33 | 0.42 |
| Calmar Ratio | 0.17 | 0.23 |
| Ulcer Index | 13.71 | 15.17 |
| Max Drawdown | 42.24% | 22.16% |
| VaR (99% Confidence) | $-4,752 | $-2,677 |
| VaR (99.9% Confidence) | $-6,312 | $-3,557 |
| Beta to Benchmark | 1.12 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 7.54 |
Skew
| -0.42 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Duration Factor | 2.0966 | 2.0966 |
| Inflation Factor | 0.7055 | 0.7055 |
| Market Factor | 0.7988 | 0.7988 |
| Size Factor | -0.0542 | -0.0542 |
| Style Factor | 0.0789 | 0.0789 |
| U.S. Tilt (Non U.S.) | -0.2043 | -0.2043 |
| Yield Curve Factor | 0.3233 | 0.3233 |
Adjusted R2
| Portfolio | 0.84 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |