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 10m 15d)
Returns (annualized)
| Portfolio | 8.63% |
| Benchmark | 7.53% |
Risk (annualized)
| Portfolio | 20.25% |
| Benchmark | 11.40% |
Sharpe (annualized)
| Portfolio | 0.39 |
| Benchmark | 0.48 |
Excess Return (annualized)
| 1.09% |
Tracking Error (annualized)
| 15.75% |
Information Ratio
| 0.07 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 21.57% | 12.23% |
| Sortino Ratio | 0.36 | 0.45 |
| Calmar Ratio | 0.19 | 0.25 |
| Ulcer Index | 13.72 | 15.18 |
| Max Drawdown | 42.24% | 22.16% |
| VaR (99% Confidence) | $-4,709 | $-2,650 |
| VaR (99.9% Confidence) | $-6,255 | $-3,521 |
| 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
| 7.65 |
Skew
| -0.42 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 2.0928 | 0.3314 | 1.7614 |
| Inflation Factor | 0.7104 | 0.0309 | 0.6795 |
| Market Factor | 0.7967 | 0.6195 | 0.1771 |
| Size Factor | -0.0579 | 0.0154 | -0.0733 |
| Style Factor | 0.0779 | -0.0018 | 0.0797 |
| U.S. Tilt (Non U.S.) | -0.2030 | -0.0139 | -0.1891 |
| Yield Curve Factor | 0.3221 | 0.0205 | 0.3017 |
Adjusted R2
| Portfolio | 0.83 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |