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 7m 8d)
Returns (annualized)
| Portfolio | 10.40% |
| Benchmark | 8.19% |
Risk (annualized)
| Portfolio | 20.29% |
| Benchmark | 11.27% |
Sharpe (annualized)
| Portfolio | 0.46 |
| Benchmark | 0.53 |
Excess Return (annualized)
| 2.21% |
Tracking Error (annualized)
| 15.77% |
Information Ratio
| 0.14 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 21.80% | 12.08% |
| Sortino Ratio | 0.43 | 0.49 |
| Calmar Ratio | 0.22 | 0.27 |
| Ulcer Index | 13.88 | 15.23 |
| Max Drawdown | 42.24% | 22.16% |
| VaR (99% Confidence) | $-4,718 | $-2,621 |
| VaR (99.9% Confidence) | $-6,268 | $-3,481 |
| 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
| 7.24 |
Skew
| -0.48 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 2.0705 | 0.3311 | 1.7394 |
| Inflation Factor | 0.7486 | 0.0323 | 0.7163 |
| Market Factor | 0.7890 | 0.6189 | 0.1701 |
| Size Factor | -0.0496 | 0.0145 | -0.0641 |
| Style Factor | 0.0741 | -0.0017 | 0.0758 |
| U.S. Tilt (Non U.S.) | -0.2068 | -0.0125 | -0.1943 |
| Yield Curve Factor | 0.3140 | 0.0203 | 0.2937 |
Adjusted R2
| Portfolio | 0.80 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |