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 4m 18d)
Returns (annualized)
Portfolio | 7.41% |
Benchmark | 6.37% |
Risk (annualized)
Portfolio | 20.18% |
Benchmark | 11.32% |
Sharpe (annualized)
Portfolio | 0.34 |
Benchmark | 0.39 |
Excess Return (annualized)
1.04% |
Tracking Error (annualized)
15.88% |
Information Ratio
0.07 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 21.60% | 12.20% |
Sortino Ratio | 0.32 | 0.37 |
Calmar Ratio | 0.16 | 0.20 |
Ulcer Index | 13.73 | 15.15 |
Max Drawdown | 42.24% | 22.16% |
VaR (99% Confidence) | $-4,692 | $-2,631 |
VaR (99.9% Confidence) | $-6,232 | $-3,496 |
Beta to Benchmark | 1.10 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
7.48 |
Skew
-0.48 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Duration Factor | 2.1175 | 2.1175 |
Inflation Factor | 0.7072 | 0.7072 |
Market Factor | 0.7953 | 0.7953 |
Size Factor | -0.0541 | -0.0541 |
Style Factor | 0.0790 | 0.0790 |
U.S. Tilt (Non U.S.) | -0.1894 | -0.1894 |
Yield Curve Factor | 0.3190 | 0.3190 |
Adjusted R2
Portfolio | 0.84 |
Benchmark | 0.99 |
Intercept
Portfolio | -0.00 |
Benchmark | 0.00 |