2X 80/20 Portfolio

Specification

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

Policy Report

Backtest Report

From to (11y 11m 24d )

Returns (annualized)

Portfolio 5.51%
Benchmark 13.78%

Risk (annualized)

Portfolio 10.49%
Benchmark 16.75%

Sharpe (annualized)

Portfolio 0.46
Benchmark 0.79

Excess Return (annualized)

-8.27%

Tracking Error (annualized)

13.52%

Risk Free Rate (annualized)

1.15%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

36.50

Skew

-1.85
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.0208 -0.0208
Size Factor 0.1003 0.1003
Market Factor 0.3846 0.3846
U.S. Tilt (Non U.S.) 0.0281 0.0281

Adjusted R2

Portfolio 0.41
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution