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.
Assets Report
Policy Report
Backtest Report
From to (6y 5m 15d)
Returns (annualized)
Portfolio | 6.13% |
---|---|
Benchmark | 12.83% |
Risk (annualized)
Portfolio | 20.57% |
---|---|
Benchmark | 19.84% |
Sharpe (annualized)
Portfolio | 0.29 |
---|---|
Benchmark | 0.61 |
Excess Return (annualized)
-6.70% |
Tracking Error (annualized)
21.57% |
Risk Free Rate (annualized)
2.06% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
7.84 |
Skew
-0.49 |
Factor Analysis
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Duration Factor | 2.1585 | 2.1585 |
Inflation Factor | 0.6755 | 0.6755 |
Market Factor | 0.7977 | 0.7977 |
Size Factor | -0.0625 | -0.0625 |
Style Factor | 0.1158 | 0.1158 |
U.S. Tilt (Non U.S.) | -0.1576 | -0.1576 |
Yield Curve Factor | 0.3273 | 0.3273 |
Adjusted R2
Portfolio | 0.85 |
---|---|
Benchmark | 0.99 |
Intercept
Portfolio | -0.00 |
---|---|
Benchmark | -0.00 |