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 (10y 3m 10d)

Returns (annualized)

Portfolio 11.95%
Benchmark 8.79%

Risk (annualized)

Portfolio 17.03%
Benchmark 16.92%

Sharpe (annualized)

Portfolio 0.65
Benchmark 0.48

Excess Return (annualized)

3.16%

Tracking Error (annualized)

7.45%

Information Ratio

0.42
Statistic Portfolio Benchmark
Downside Volatility 17.82% 18.17%
Sortino Ratio 0.62 0.45
Calmar Ratio 0.38 0.24
Ulcer Index 14.91 15.02
Max Drawdown 29.42% 33.53%
VaR (99% Confidence) $-3,961 $-3,935
VaR (99.9% Confidence) $-5,262 $-5,227
Beta to Benchmark 0.91 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.69

Skew

-0.44
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0435 1.0435
Style Factor 0.0165 0.0165
Size Factor -0.0693 -0.0693
U.S. Tilt (Non U.S.) 0.0615 0.0615
Vol Factor 0.0270 0.0270
Vol Term Structure 0.1628 0.1628

Adjusted R2

Portfolio 0.89
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution