Dynamic Accumulation Portfolio

63864cc79e1ad835a2a92d62

Asset Report

Selected Assets

Asset ID Name Earliest
Return Date		 Latest
Return Date		 Type
63831001808f12399b2ac049 Accumulation Portfolio 2017-11-09 2023-09-28 Portfolio
63831001808f12399b2ac049 Accumulation Portfolio 2017-11-09 2023-09-28 Portfolio
63831001808f12399b2ac049 Accumulation Portfolio 2017-11-09 2023-09-28 Portfolio
63831001808f12399b2ac049 Accumulation Portfolio 2017-11-09 2023-09-28 Portfolio
VIXM ProShares VIX Mid-Term Futures ETF 2011-01-05 2023-09-29 ETF
Benchmark
SPY SPDR S&P 500 ETF Trust 1999-11-02 2023-09-29 ETF

Periodic Metrics

1 Day 1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
Accumulation Portfolio 0.52 -2.08 -1.56 -2.80 0.33 5.17 6.47 5.25 2017-11-09
Accumulation Portfolio 0.52 -2.08 -1.56 -2.80 0.33 5.17 6.47 5.25 2017-11-09
Accumulation Portfolio 0.52 -2.08 -1.56 -2.80 0.33 5.17 6.47 5.25 2017-11-09
Accumulation Portfolio 0.52 -2.08 -1.56 -2.80 0.33 5.17 6.47 5.25 2017-11-09
VIXM -1.52 1.68 -1.87 -5.69 -44.10 -22.19 -1.26 -14.34 -19.75 2011-01-05
Benchmark 0.28 -0.76 -2.61 -1.42 14.21 8.58 8.22 9.82 5.71 1999-11-02
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
Accumulation Portfolio 0.59 0.51 0.55 11.72 12.81 14.38 14.03 2017-11-09
Accumulation Portfolio 0.59 0.51 0.55 11.72 12.81 14.38 14.03 2017-11-09
Accumulation Portfolio 0.59 0.51 0.55 11.72 12.81 14.38 14.03 2017-11-09
Accumulation Portfolio 0.59 0.51 0.55 11.72 12.81 14.38 14.03 2017-11-09
VIXM 2.21 1.58 1.50 25.82 28.29 35.43 32.46 32.45 2011-01-05
Benchmark 0.61 0.62 0.58 14.35 15.11 17.87 14.59 17.16 1999-11-02
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
Accumulation Portfolio 0.03 0.46 0.59 0.48 2017-11-09
Accumulation Portfolio 0.03 0.46 0.59 0.48 2017-11-09
Accumulation Portfolio 0.03 0.46 0.59 0.48 2017-11-09
Accumulation Portfolio 0.03 0.46 0.59 0.48 2017-11-09
VIXM -5.19 -2.11 0.24 -1.14 -1.73 2011-01-05
Benchmark 1.23 0.78 0.77 0.88 0.55 1999-11-02

Correlation Matrix

Accumulation Portfolio Accumulation Portfolio Accumulation Portfolio Accumulation Portfolio VIXM
Accumulation Portfolio 1 1 1 1 -0.59
Accumulation Portfolio 1 1 1 1 -0.59
Accumulation Portfolio 1 1 1 1 -0.59
Accumulation Portfolio 1 1 1 1 -0.59
VIXM -0.59 -0.59 -0.59 -0.59 1
Documentation

Policy Report

Expected Risk

10.36%

Unique Bets

11.25

Back Test Report

Key Statistics

Returns

Portfolio
9.18%
Benchmark
10.07%

Risk

Portfolio
12.98%
Benchmark
18.03%

Sharpe Ratio

Portfolio
0.39
Benchmark
0.37

Excess Returns

-0.89%

Tracking Error

14.6%

Risk Free Rate

4.59%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

4.52

Skew

-0.89

Excess Kurtosis

16.99

Excess Skew

-0.33

Documentation

Factor Analysis

Factor Coefficients

Intercept

0.0001

Adjusted R2

0.62

Documentation

Factor Attribution

Documentation

Specification You may be able to interact with your portfolio programmatically. This is new functionality that is still a work in progress. Go Reference 
name: Dynamic Accumulation Portfolio
benchmark:
    id: SPY
assets:
    - type: Portfolio
      id: 63831001808f12399b2ac049
    - type: Portfolio
      id: 63831001808f12399b2ac049
    - type: Portfolio
      id: 63831001808f12399b2ac049
    - type: Portfolio
      id: 63831001808f12399b2ac049
    - type: Security
      id: VIXM
policy:
    rebalancing_interval: Quarterly
    weights_algorithm: InverseVarianceWeight
    weights_algorithm_look_back_window: 1 Year
    weights_updating_interval: Quarterly