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 (7y 11m 6d)
Returns (annualized)
| Portfolio | 9.48% |
| Benchmark | 7.64% |
Risk (annualized)
| Portfolio | 20.21% |
| Benchmark | 11.38% |
Sharpe (annualized)
| Portfolio | 0.43 |
| Benchmark | 0.49 |
Excess Return (annualized)
| 1.84% |
Tracking Error (annualized)
| 15.72% |
Information Ratio
| 0.12 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 21.55% | 12.23% |
| Sortino Ratio | 0.40 | 0.45 |
| Calmar Ratio | 0.20 | 0.25 |
| Ulcer Index | 13.74 | 15.19 |
| Max Drawdown | 42.24% | 22.16% |
| VaR (99% Confidence) | $-4,699 | $-2,645 |
| VaR (99.9% Confidence) | $-6,243 | $-3,514 |
| Beta to Benchmark | 1.12 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 7.66 |
Skew
| -0.42 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 2.0929 | 0.3314 | 1.7615 |
| Inflation Factor | 0.7122 | 0.0310 | 0.6812 |
| Market Factor | 0.7972 | 0.6195 | 0.1777 |
| Size Factor | -0.0573 | 0.0153 | -0.0725 |
| Style Factor | 0.0769 | -0.0018 | 0.0787 |
| U.S. Tilt (Non U.S.) | -0.2051 | -0.0139 | -0.1913 |
| Yield Curve Factor | 0.3217 | 0.0205 | 0.3013 |
Adjusted R2
| Portfolio | 0.83 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |