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 (8y 3m 24d)
Returns (annualized)
| Portfolio | 10.94% |
| Benchmark | 7.58% |
Risk (annualized)
| Portfolio | 20.29% |
| Benchmark | 11.23% |
Sharpe (annualized)
| Portfolio | 0.49 |
| Benchmark | 0.48 |
Excess Return (annualized)
| 3.36% |
Tracking Error (annualized)
| 15.86% |
Information Ratio
| 0.21 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 21.73% | 12.08% |
| Sortino Ratio | 0.46 | 0.45 |
| Calmar Ratio | 0.23 | 0.24 |
| Ulcer Index | 13.82 | 15.22 |
| Max Drawdown | 42.24% | 22.16% |
| VaR (99% Confidence) | $-4,718 | $-2,611 |
| VaR (99.9% Confidence) | $-6,267 | $-3,469 |
| 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
| 7.46 |
Skew
| -0.47 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 2.0771 | 0.3312 | 1.7459 |
| Inflation Factor | 0.7185 | 0.0315 | 0.6870 |
| Market Factor | 0.7994 | 0.6192 | 0.1802 |
| Size Factor | -0.0418 | 0.0147 | -0.0565 |
| Style Factor | 0.0695 | -0.0018 | 0.0713 |
| U.S. Tilt (Non U.S.) | -0.2282 | -0.0131 | -0.2151 |
| Yield Curve Factor | 0.3198 | 0.0204 | 0.2994 |
Adjusted R2
| Portfolio | 0.81 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |