Levered Risk Parity


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


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)


Tracking Error (annualized)


Risk Free Rate (annualized)


Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis



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


Portfolio -0.00
Benchmark 0.00

Factor Attribution