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 8m 15d)
Returns (annualized)
| Portfolio | 6.41% |
| Benchmark | 13.52% |
Risk (annualized)
| Portfolio | 20.51% |
| Benchmark | 19.58% |
Sharpe (annualized)
| Portfolio | 0.30 |
| Benchmark | 0.64 |
Excess Return (annualized)
| -7.10% |
Tracking Error (annualized)
| 21.34% |
Risk Free Rate (annualized)
| 2.18% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 7.65 |
Skew
| -0.50 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Duration Factor | 2.1510 | 2.1510 |
| Inflation Factor | 0.6801 | 0.6801 |
| Market Factor | 0.7980 | 0.7980 |
| Size Factor | -0.0591 | -0.0591 |
| Style Factor | 0.1092 | 0.1092 |
| U.S. Tilt (Non U.S.) | -0.1634 | -0.1634 |
| Yield Curve Factor | 0.3234 | 0.3234 |
Adjusted R2
| Portfolio | 0.85 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |