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

Simple 60/40

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 1d)

Returns (annualized)

Portfolio 7.76%
Benchmark 7.13%

Risk (annualized)

Portfolio 20.43%
Benchmark 11.51%

Sharpe (annualized)

Portfolio 0.35
Benchmark 0.44

Excess Return (annualized)

0.64%

Tracking Error (annualized)

15.89%

Information Ratio

0.04
Statistic Portfolio Benchmark
Downside Volatility 21.79% 12.37%
Sortino Ratio 0.33 0.41
Calmar Ratio 0.17 0.23
Ulcer Index 13.71 15.17
Max Drawdown 42.24% 22.16%
VaR (99% Confidence) $-4,751 $-2,677
VaR (99.9% Confidence) $-6,311 $-3,556
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

7.55

Skew

-0.42
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Duration Factor 2.0959 2.0959
Inflation Factor 0.7077 0.7077
Market Factor 0.7984 0.7984
Size Factor -0.0549 -0.0549
Style Factor 0.0788 0.0788
U.S. Tilt (Non U.S.) -0.2040 -0.2040
Yield Curve Factor 0.3226 0.3226

Adjusted R2

Portfolio 0.84
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution