Levered Risk Parity

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Risk Contribution
Weights Algorithm Look-back 3 Years
Weights Updating Interval Quarterly
Benchmark
SPDR S&P 500 ETF Trust (SPY)

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 (6y 7m 7d)

Returns (annualized)

Portfolio 6.93%
Benchmark 13.96%

Risk (annualized)

Portfolio 20.54%
Benchmark 19.68%

Sharpe (annualized)

Portfolio 0.33
Benchmark 0.66

Excess Return (annualized)

-7.03%

Tracking Error (annualized)

21.42%

Risk Free Rate (annualized)

2.13%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

7.74

Skew

-0.50
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Duration Factor 2.1522 2.1522
Inflation Factor 0.6770 0.6770
Market Factor 0.7978 0.7978
Size Factor -0.0591 -0.0591
Style Factor 0.1109 0.1109
U.S. Tilt (Non U.S.) -0.1606 -0.1606
Yield Curve Factor 0.3249 0.3249

Adjusted R2

Portfolio 0.85
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution