Octane Portfolio

Specification

Policy
Rebalancing Interval Monthly
Weights Algorithm Equal Inverse Volatility
Weights Algorithm Look-back 1 Quarter
Weights Updating Interval Monthly
Benchmark
ISHARES MSCI ACWI ETF (ACWI)

Policy Report

Backtest Report

From to (9y 9m 8d)

Returns (annualized)

Portfolio 12.16%
Benchmark 8.71%

Risk (annualized)

Portfolio 17.12%
Benchmark 17.10%

Sharpe (annualized)

Portfolio 0.67
Benchmark 0.48

Excess Return (annualized)

3.45%

Tracking Error (annualized)

7.52%

Risk Free Rate (annualized)

1.55%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.85

Skew

-0.44
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0375 1.0375
Style Factor 0.0205 0.0205
Size Factor -0.0727 -0.0727
U.S. Tilt (Non U.S.) 0.0685 0.0685
Vol Factor 0.0266 0.0266
Vol Term Structure 0.1643 0.1643

Adjusted R2

Portfolio 0.89
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution