Octane Portfolio

Portfolio Specification

Policy

Rebalancing Interval Monthly
Weights Algorithm Equal Inverse Volatility
Weights Algorithm Look-back 1 Quarter
Weights Updating Interval Monthly

This portfolio is listed on the Community Portfolios page.

Policy Report

Backtest Report

From to (10y 10m 23d)

Returns (annualized)

Portfolio 12.22%
Benchmark 9.27%

Risk (annualized)

Portfolio 17.47%
Benchmark 17.12%

Sharpe (annualized)

Portfolio 0.64
Benchmark 0.50

Excess Return (annualized)

2.96%

Tracking Error (annualized)

7.41%

Information Ratio

0.40
Statistic Portfolio Benchmark
Downside Volatility 18.21% 18.29%
Sortino Ratio 0.62 0.46
Calmar Ratio 0.38 0.25
Ulcer Index 14.94 15.04
Max Drawdown 29.42% 33.53%
VaR (99% Confidence) $-4,064 $-3,982
VaR (99.9% Confidence) $-5,399 $-5,289
Beta to Benchmark 0.93 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

8.21

Skew

-0.33
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0654 1.0654
Style Factor 0.0215 0.0215
Size Factor -0.0760 -0.0760
U.S. Tilt (Non U.S.) 0.0486 0.0486
Vol Factor 0.0286 0.0286
Vol Term Structure 0.1670 0.1670

Adjusted R2

Portfolio 0.90
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution