I am trying to work backwards to see how the allocation provided by $HRA (Horizons Global Risk Parity) would show as a Sharpe Ratio. I cannot get this information directly as the ETF is only available since last summer.
I was planning on working backwards on the holdings and then weighting their Sharpe ratios based on allocation. How do I capture rebalancing? At what point do I deduct the 0.85% MER? Also, how far back should I go? 10 Years?
HRA is currently composed of:
- 19.54% VTI (US Total Market)
- 13.17% HTB.U (Mid-Term US Bond)
- 9.06% EMB (Emerging Markets Bond)
- 9.04% HUG (Gold ETF)
- 8.65% HXX (Euro)
- 8.34% VPL (Pacific)
- 7.65% BWX (International Treasury Bond)
- 5.64% VWO (Emerging markets)
- 5.06% RWO (Global Real Estate)
- 4.14% LTPZ (15+ year US TIPS)
- Remainder mostly in Cash.
Submitted May 30, 2017 at 02:16PM by Fearspect http://ift.tt/2qy2LuA
