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 5m 21d )

Returns (annualized)

Portfolio 11.86%
Benchmark 8.40%

Risk (annualized)

Portfolio 17.39%
Benchmark 17.27%

Sharpe (annualized)

Portfolio 0.65
Benchmark 0.47

Excess Return (annualized)

3.45%

Tracking Error (annualized)

7.96%

Risk Free Rate (annualized)

1.43%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.75

Skew

-0.39
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0317 1.0317
Style Factor 0.0239 0.0239
Size Factor -0.0733 -0.0733
U.S. Tilt (Non U.S.) 0.0692 0.0692
Vol Factor 0.0241 0.0241
Vol Term Structure 0.1703 0.1703

Adjusted R2

Portfolio 0.89
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution