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 2m 11d)
Returns (annualized)
| Portfolio | 10.13% |
| Benchmark | 7.79% |
Risk (annualized)
| Portfolio | 20.10% |
| Benchmark | 11.27% |
Sharpe (annualized)
| Portfolio | 0.46 |
| Benchmark | 0.50 |
Excess Return (annualized)
| 2.34% |
Tracking Error (annualized)
| 15.63% |
Information Ratio
| 0.15 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 21.42% | 12.13% |
| Sortino Ratio | 0.43 | 0.46 |
| Calmar Ratio | 0.22 | 0.25 |
| Ulcer Index | 13.80 | 15.21 |
| Max Drawdown | 42.24% | 22.16% |
| VaR (99% Confidence) | $-4,674 | $-2,620 |
| VaR (99.9% Confidence) | $-6,209 | $-3,481 |
| 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
| 7.60 |
Skew
| -0.42 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 2.0824 | 0.3313 | 1.7512 |
| Inflation Factor | 0.7079 | 0.0312 | 0.6768 |
| Market Factor | 0.7977 | 0.6195 | 0.1782 |
| Size Factor | -0.0483 | 0.0150 | -0.0632 |
| Style Factor | 0.0765 | -0.0018 | 0.0783 |
| U.S. Tilt (Non U.S.) | -0.2124 | -0.0138 | -0.1985 |
| Yield Curve Factor | 0.3193 | 0.0205 | 0.2988 |
Adjusted R2
| Portfolio | 0.83 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |