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 29d)
Returns (annualized)
| Portfolio | 9.13% |
| Benchmark | 7.67% |
Risk (annualized)
| Portfolio | 20.14% |
| Benchmark | 11.31% |
Sharpe (annualized)
| Portfolio | 0.41 |
| Benchmark | 0.49 |
Excess Return (annualized)
| 1.47% |
Tracking Error (annualized)
| 15.66% |
Information Ratio
| 0.09 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 21.44% | 12.18% |
| Sortino Ratio | 0.39 | 0.45 |
| Calmar Ratio | 0.20 | 0.25 |
| Ulcer Index | 13.77 | 15.20 |
| Max Drawdown | 42.24% | 22.16% |
| VaR (99% Confidence) | $-4,684 | $-2,631 |
| VaR (99.9% Confidence) | $-6,222 | $-3,495 |
| 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
| 7.63 |
Skew
| -0.42 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 2.0861 | 0.3313 | 1.7548 |
| Inflation Factor | 0.7081 | 0.0311 | 0.6770 |
| Market Factor | 0.7981 | 0.6195 | 0.1786 |
| Size Factor | -0.0519 | 0.0150 | -0.0670 |
| Style Factor | 0.0740 | -0.0018 | 0.0759 |
| U.S. Tilt (Non U.S.) | -0.2111 | -0.0139 | -0.1972 |
| Yield Curve Factor | 0.3216 | 0.0205 | 0.3011 |
Adjusted R2
| Portfolio | 0.83 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |