Income Portfolio

Specification

Policy
Rebalancing Interval Monthly
Weights Algorithm Constant Weights
Weights Updating Interval Monthly
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (9y 5m 2d)

Returns (annualized)

Portfolio 3.94%
Benchmark 12.31%

Risk (annualized)

Portfolio 7.34%
Benchmark 17.85%

Sharpe (annualized)

Portfolio 0.36
Benchmark 0.66

Excess Return (annualized)

-8.37%

Tracking Error (annualized)

12.88%

Risk Free Rate (annualized)

1.51%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

21.14

Skew

-1.41
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor 0.1072 0.1072
Size Factor -0.0239 -0.0239
Market Factor 0.3616 0.3616
U.S. Tilt (Non U.S.) 0.0425 0.0425

Adjusted R2

Portfolio 0.67
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution