Capital Efficient Portfolio
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
This portfolio is listed on the Community Portfolios page.
Portfolio Description
A simple portfolio that utilizes the capital efficiency of a fund with embedded leverage to “make room” for a diversifier. NTSX Invests 90% in U.S. Equity and 60% in U.S. Treasuries for a total exposure of 150%. By investing 67% in NTSX, we retain 100% exposure to a 60-40 portfolio while unlocking 33% to invest in a diversifying asset. Commodity trend was selected in this portfolio.
Policy Report
Backtest Report
From to (4m 16d)
Returns
| Portfolio | 6.58% |
| Benchmark | 6.68% |
Risk (annualized)
| Portfolio | 7.82% |
| Benchmark | 7.32% |
Sharpe (annualized)
| Portfolio | 1.68 |
| Benchmark | 1.82 |
Excess Return
| -0.10% |
Tracking Error (annualized)
| 3.00% |
Information Ratio
| -0.10 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 7.30% | 7.47% |
| Sortino Ratio | 1.80 | 1.78 |
| Calmar Ratio | 3.29 | 3.83 |
| Ulcer Index | 15.77 | 15.78 |
| Max Drawdown | 3.99% | 3.48% |
| VaR (99% Confidence) | $-1,810 | $-1,694 |
| VaR (99.9% Confidence) | $-2,405 | $-2,251 |
| Beta to Benchmark | 0.99 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 0.12 |
Skew
| -0.04 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.0566 | 0.0907 | -0.1473 |
| Duration Factor | 0.5116 | 0.3547 | 0.1569 |
| Market Factor | 0.5986 | 0.6091 | -0.0105 |
| U.S. Tilt (Non U.S.) | 0.2465 | 0.1975 | 0.0490 |
Adjusted R2
| Portfolio | 0.85 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |