Accumulation Portfolio

63831001808f12399b2ac049

Asset Report

Selected Assets

Asset ID Name Earliest
Return Date
Latest
Return Date
Type
63830a84808f12399b2ac044 Levered Risk Parity 2017-11-09 2023-05-24 Portfolio
6382f3b0989d27fa2b8d1340 Levered Equity 2014-01-23 2023-05-24 Portfolio
5f4a9ee9de1ff523f34f9e70 Managed Futures 2014-07-02 2023-05-23 Portfolio
Benchmark
SPY SPDR S&P 500 ETF Trust 1999-11-02 2023-05-24 ETF

Periodic Metrics

1 Day 1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
Levered Risk Parity -1.40 -2.12 -5.11 -2.15 -17.82 -1.40 3.47 2.94 2017-11-09
Levered Equity -6.06 -2.26 -7.35 -9.53 -19.05 12.32 -4.89 3.37 2014-01-23
Managed Futures -0.32 1.83 1.63 -4.12 -3.12 10.60 6.24 5.13 2014-07-02
Benchmark -1.55 0.17 -0.23 2.49 4.39 11.17 8.66 9.68 5.62 1999-11-02
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
Levered Risk Parity 0.61 0.86 0.93 21.52 18.65 19.06 18.66 2017-11-09
Levered Equity 2.33 2.27 2.39 51.71 47.91 53.23 45.52 2014-01-23
Managed Futures 0.50 0.37 0.97 12.33 12.72 13.05 12.49 2014-07-02
Benchmark 0.77 0.76 0.77 17.71 15.86 17.78 14.60 17.25 1999-11-02
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
Levered Risk Parity -1.72 -0.08 0.37 0.32 2017-11-09
Levered Equity -1.02 1.86 0.58 1.02 2014-01-23
Managed Futures -0.29 0.93 0.56 0.46 2014-07-02
Benchmark 0.44 1.00 0.81 0.86 0.54 1999-11-02

Correlation Matrix

Documentation

Policy Report

Expected Risk

14.45%

Unique Bets

3.34

Back Test Report

Key Statistics

Returns

Portfolio
7.19%
Benchmark
8.79%

Risk

Portfolio
14.52%
Benchmark
17.67%

Sharpe Ratio

Portfolio
0.3
Benchmark
0.36

Excess Returns

-1.6%

Tracking Error

13.56%

Risk Free Rate

3.64%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

5.67

Skew

-1.12

Excess Kurtosis

16.26

Excess Skew

-0.47

Documentation

Factor Analysis

Factor Coefficients

Intercept

0.0001

Adjusted R2

0.72

Documentation

Factor Attribution

Documentation