Century Portfolio

Specification

Policy

Rebalancing Interval	Quarterly
Weights Algorithm	Equal Inverse Variance
Weights Algorithm Look-back	1 Year
Weights Updating Interval	Quarterly

Assets

Long Volatility

Managed Futures

Managed Futures

Benchmark

SPDR Portfolio MSCI Global Stock Market ETF (SPGM)

Policy Report

Backtest Report

From 2018-06-18 to 2024-04-16 (5y 9m 29d)

Returns (annualized)

Portfolio	4.66%
Benchmark	8.66%

Risk (annualized)

Portfolio	9.01%
Benchmark	19.27%

Sharpe (annualized)

Portfolio	0.32
Benchmark	0.42

Excess Return (annualized)

-4.00%

Tracking Error (annualized)

17.39%

Risk Free Rate (annualized)

2.09%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.42

Skew

-0.90

Data Table

Factor Coefficients
Factor	Portfolio	Benchmark
Market Factor	0.1726	0.1726
Style Factor	-0.0271	-0.0271
Size Factor	0.0710	0.0710
U.S. Tilt (Non U.S.)	-0.1201	-0.1201
High Beta (Low Beta)	-0.0897	-0.0897
Vol Term Structure	0.0619	0.0619
Credit Factor	0.0823	0.0823
Duration Factor	0.7580	0.7580
Inflation Factor	0.5880	0.5880

Adjusted R²

Portfolio	0.56
Benchmark	0.97

Intercept

Portfolio	0.00
Benchmark	0.00

Factor Attribution