Overview of Test Portfolios

Risk Parity Chronicles tracks eight sample portfolios and three benchmark portfolios, in groups according to their levels of expected volatility. The portfolios are summarized and compared here; see subsequent posts for in-depth looks at each.


Chart showing eleven portfolios: eight test portfolios and three benchmark.

Here is a side-by-side backtest comparison of the eleven, according to the performance criteria:

Here are the details of what is in each portfolio, along with the asset class used for it in the backtests:

You may be interested in learning about the process to come up with the backtests. If so, please see:

Notes on Backtests
The process of analyzing performance data for the test portfolios was filled with choices: capturing the exact assets but with a shorter time frame? Using a longer time frame but not the exact asset? In the end, there is no one best way to do it, but I settled on a process that hopefully provides...
Notes on Backtests of Test Portfolios