Capital Efficient Portfolio
Specification
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
| US 60/40 |
Description
A simple portfolio that utilizes the capital efficiency of a fund with embedded leverage to “make room” for a diversifier. NTSX Invests 90% in U.S. Equity and 60% in U.S. Treasuries for a total exposure of 150%. By investing 67% in NTSX, we retain 100% exposure to a 60-40 portfolio while unlocking 33% to invest in a diversifying asset. Commodity trend was selected in this portfolio.
Policy Report
Backtest Report
From to (5y 8m 20d)
Returns (annualized)
| Portfolio | 9.09% |
|---|---|
| Benchmark | 7.84% |
Risk (annualized)
| Portfolio | 12.49% |
|---|---|
| Benchmark | 13.05% |
Sharpe (annualized)
| Portfolio | 0.59 |
|---|---|
| Benchmark | 0.48 |
Excess Return (annualized)
| 1.25% |
Tracking Error (annualized)
| 4.21% |
Risk Free Rate (annualized)
| 2.11% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 9.57 |
Skew
| -0.61 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | 0.0175 | 0.0175 |
| Duration Factor | 0.3396 | 0.3396 |
| Market Factor | 0.5829 | 0.5829 |
| U.S. Tilt (Non U.S.) | 0.2464 | 0.2464 |
Adjusted R2
| Portfolio | 0.91 |
|---|---|
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
|---|---|
| Benchmark | -0.00 |