Levered Seasons
Specification
Policy
Rebalancing Interval | Quarterly |
---|---|
Weights Algorithm | Constant Weights |
Assets
Benchmark
SPDR S&P 500 ETF Trust (SPY) |
Description
The Levered Seasons Portfolio is based on the construction shown over at Risk Parity Chronicles as part of their suite of test portfolios. It is intended to reflect a levered version of a more traditional “all-weather” or “all-seasons” portfolio.
While only 30% of the portfolio is invested inequity, the small- and large-cap asset classes seem to be contributing well over 80% of the risk in the portfolio. Therefore, this strategy may be best for someone still in their accumulation stage.
Assets Report
Policy Report
Backtest Report
From to (5y 9m 20d)
Returns (annualized)
Portfolio | 8.21% |
---|---|
Benchmark | 13.10% |
Risk (annualized)
Portfolio | 21.00% |
---|---|
Benchmark | 20.32% |
Sharpe (annualized)
Portfolio | 0.38 |
---|---|
Benchmark | 0.61 |
Excess Return (annualized)
-4.89% |
Tracking Error (annualized)
15.46% |
Risk Free Rate (annualized)
2.09% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
4.56 |
Skew
-0.37 |
Factor Analysis
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Market Factor | 0.9312 | 0.9312 |
Size Factor | 0.4247 | 0.4247 |
U.S. Tilt (Non U.S.) | 0.3088 | 0.3088 |
Duration Factor | 1.3086 | 1.3086 |
Yield Curve Factor | 0.1704 | 0.1704 |
Inflation Factor | 0.1848 | 0.1848 |
Adjusted R2
Portfolio | 0.98 |
---|---|
Benchmark | 0.99 |
Intercept
Portfolio | -0.00 |
---|---|
Benchmark | -0.00 |