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
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 8m 1d)
Returns (annualized)
Portfolio | 7.76% |
Benchmark | 7.13% |
Risk (annualized)
Portfolio | 20.43% |
Benchmark | 11.51% |
Sharpe (annualized)
Portfolio | 0.35 |
Benchmark | 0.44 |
Excess Return (annualized)
0.64% |
Tracking Error (annualized)
15.89% |
Information Ratio
0.04 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 21.79% | 12.37% |
Sortino Ratio | 0.33 | 0.41 |
Calmar Ratio | 0.17 | 0.23 |
Ulcer Index | 13.71 | 15.17 |
Max Drawdown | 42.24% | 22.16% |
VaR (99% Confidence) | $-4,751 | $-2,677 |
VaR (99.9% Confidence) | $-6,311 | $-3,556 |
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
7.55 |
Skew
-0.42 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Duration Factor | 2.0959 | 2.0959 |
Inflation Factor | 0.7077 | 0.7077 |
Market Factor | 0.7984 | 0.7984 |
Size Factor | -0.0549 | -0.0549 |
Style Factor | 0.0788 | 0.0788 |
U.S. Tilt (Non U.S.) | -0.2040 | -0.2040 |
Yield Curve Factor | 0.3226 | 0.3226 |
Adjusted R2
Portfolio | 0.84 |
Benchmark | 0.99 |
Intercept
Portfolio | -0.00 |
Benchmark | 0.00 |