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 8m 21d)
Returns (annualized)
| Portfolio | 10.00% |
| Benchmark | 7.95% |
Risk (annualized)
| Portfolio | 20.24% |
| Benchmark | 11.24% |
Sharpe (annualized)
| Portfolio | 0.44 |
| Benchmark | 0.51 |
Excess Return (annualized)
| 2.05% |
Tracking Error (annualized)
| 15.71% |
Information Ratio
| 0.13 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 21.71% | 12.06% |
| Sortino Ratio | 0.41 | 0.47 |
| Calmar Ratio | 0.21 | 0.26 |
| Ulcer Index | 13.89 | 15.23 |
| Max Drawdown | 42.24% | 22.16% |
| VaR (99% Confidence) | $-4,706 | $-2,614 |
| VaR (99.9% Confidence) | $-6,251 | $-3,473 |
| Beta to Benchmark | 1.14 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 7.22 |
Skew
| -0.47 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 2.0665 | 0.3312 | 1.7354 |
| Inflation Factor | 0.7608 | 0.0324 | 0.7283 |
| Market Factor | 0.7878 | 0.6189 | 0.1688 |
| Size Factor | -0.0515 | 0.0143 | -0.0658 |
| Style Factor | 0.0739 | -0.0014 | 0.0753 |
| U.S. Tilt (Non U.S.) | -0.2101 | -0.0121 | -0.1980 |
| Yield Curve Factor | 0.3122 | 0.0203 | 0.2920 |
Adjusted R2
| Portfolio | 0.80 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |