Dynamic Accumulation Portfolio

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Asset Report

Selected Assets

Asset ID Name Earliest
Return Date
Latest
Return Date
Type
63831001808f12399b2ac049 Accumulation Portfolio 2017-11-09 2023-05-23 Portfolio
63831001808f12399b2ac049 Accumulation Portfolio 2017-11-09 2023-05-23 Portfolio
63831001808f12399b2ac049 Accumulation Portfolio 2017-11-09 2023-05-23 Portfolio
63831001808f12399b2ac049 Accumulation Portfolio 2017-11-09 2023-05-23 Portfolio
VIXM ProShares VIX Mid-Term Futures ETF 2011-01-05 2023-05-24 ETF
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
Accumulation Portfolio -0.56 -0.37 -1.32 -2.43 -8.61 8.08 6.46 5.81 2017-11-09
Accumulation Portfolio -0.56 -0.37 -1.32 -2.43 -8.61 8.08 6.46 5.81 2017-11-09
Accumulation Portfolio -0.56 -0.37 -1.32 -2.43 -8.61 8.08 6.46 5.81 2017-11-09
Accumulation Portfolio -0.56 -0.37 -1.32 -2.43 -8.61 8.08 6.46 5.81 2017-11-09
VIXM 0.35 -1.83 -1.40 0.38 -26.05 -13.20 3.34 -12.78 -18.30 2011-01-05
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
Accumulation Portfolio 0.55 0.52 0.69 12.55 13.88 14.41 14.30 2017-11-09
Accumulation Portfolio 0.55 0.52 0.69 12.55 13.88 14.41 14.30 2017-11-09
Accumulation Portfolio 0.55 0.52 0.69 12.55 13.88 14.41 14.30 2017-11-09
Accumulation Portfolio 0.55 0.52 0.69 12.55 13.88 14.41 14.30 2017-11-09
VIXM 1.17 1.50 2.10 26.47 30.05 35.29 32.49 32.65 2011-01-05
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
Accumulation Portfolio -0.83 0.72 0.59 0.53 2017-11-09
Accumulation Portfolio -0.83 0.72 0.59 0.53 2017-11-09
Accumulation Portfolio -0.83 0.72 0.59 0.53 2017-11-09
Accumulation Portfolio -0.83 0.72 0.59 0.53 2017-11-09
VIXM -2.61 -1.07 0.66 -0.97 -1.57 2011-01-05
Benchmark 0.44 1.00 0.81 0.86 0.54 1999-11-02

Correlation Matrix

Documentation

Policy Report

Expected Risk

11.05%

Unique Bets

5.76

Back Test Report

Key Statistics

Returns

Portfolio
11.58%
Benchmark
8.78%

Risk

Portfolio
13.45%
Benchmark
18.77%

Sharpe Ratio

Portfolio
0.64
Benchmark
0.37

Excess Returns

2.8%

Tracking Error

15.31%

Risk Free Rate

3.3%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

4.38

Skew

-0.91

Excess Kurtosis

15.79

Excess Skew

-0.35

Documentation

Factor Analysis

Factor Coefficients

Intercept

0.0002

Adjusted R2

0.63

Documentation

Factor Attribution

Documentation