Levered Risk Parity

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Risk Contribution
Weights Algorithm Look-back 3 Years
Weights Updating Interval Quarterly
Benchmark
Simple 60/40

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 (7y 3m 24d)

Returns (annualized)

Portfolio 7.35%
Benchmark 6.59%

Risk (annualized)

Portfolio 20.22%
Benchmark 11.33%

Sharpe (annualized)

Portfolio 0.34
Benchmark 0.41

Excess Return (annualized)

0.75%

Tracking Error (annualized)

15.92%

Information Ratio

0.05
Statistic Portfolio Benchmark
Downside Volatility 21.63% 12.21%
Sortino Ratio 0.31 0.38
Calmar Ratio 0.16 0.21
Ulcer Index 13.73 15.15
Max Drawdown 42.24% 22.16%
VaR (99% Confidence) $-4,703 $-2,634
VaR (99.9% Confidence) $-6,247 $-3,498
Beta to Benchmark 1.11 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

7.47

Skew

-0.48
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Duration Factor 2.1195 2.1195
Inflation Factor 0.7079 0.7079
Market Factor 0.7948 0.7948
Size Factor -0.0548 -0.0548
Style Factor 0.0805 0.0805
U.S. Tilt (Non U.S.) -0.1849 -0.1849
Yield Curve Factor 0.3183 0.3183

Adjusted R2

Portfolio 0.84
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution