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

Simple 60/40

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 9m 18d)

Returns (annualized)

Portfolio 7.94%
Benchmark 7.42%

Risk (annualized)

Portfolio 20.31%
Benchmark 11.44%

Sharpe (annualized)

Portfolio 0.36
Benchmark 0.47

Excess Return (annualized)

0.52%

Tracking Error (annualized)

15.80%

Information Ratio

0.03
Statistic Portfolio Benchmark
Downside Volatility 21.63% 12.27%
Sortino Ratio 0.34 0.44
Calmar Ratio 0.17 0.24
Ulcer Index 13.71 15.18
Max Drawdown 42.24% 22.16%
VaR (99% Confidence) $-4,724 $-2,660
VaR (99.9% Confidence) $-6,275 $-3,534
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

7.61

Skew

-0.41
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Duration Factor 2.0957 0.3314 1.7642
Inflation Factor 0.7087 0.0309 0.6779
Market Factor 0.7979 0.6196 0.1784
Size Factor -0.0568 0.0155 -0.0723
Style Factor 0.0794 -0.0017 0.0811
U.S. Tilt (Non U.S.) -0.2024 -0.0139 -0.1885
Yield Curve Factor 0.3230 0.0205 0.3025

Adjusted R2

Portfolio 0.84
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution