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 29d)

Returns (annualized)

Portfolio 12.40%
Benchmark 9.05%

Risk (annualized)

Portfolio 17.09%
Benchmark 17.02%

Sharpe (annualized)

Portfolio 0.67
Benchmark 0.50

Excess Return (annualized)

3.35%

Tracking Error (annualized)

7.50%

Information Ratio

0.45
Statistic Portfolio Benchmark
Downside Volatility 17.84% 18.25%
Sortino Ratio 0.65 0.46
Calmar Ratio 0.39 0.25
Ulcer Index 14.90 15.00
Max Drawdown 29.42% 33.53%
VaR (99% Confidence) $-3,974 $-3,958
VaR (99.9% Confidence) $-5,279 $-5,257
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

5.71

Skew

-0.43
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0428 1.0428
Style Factor 0.0181 0.0181
Size Factor -0.0710 -0.0710
U.S. Tilt (Non U.S.) 0.0652 0.0652
Vol Factor 0.0274 0.0274
Vol Term Structure 0.1638 0.1638

Adjusted R2

Portfolio 0.89
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution