Capital Efficient Portfolio

Portfolio Specification

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Benchmark

US 60/40

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 (7y 2m 18d)

Returns (annualized)

Portfolio 10.03%
Benchmark 9.54%

Risk (annualized)

Portfolio 12.36%
Benchmark 12.59%

Sharpe (annualized)

Portfolio 0.63
Benchmark 0.58

Excess Return (annualized)

0.48%

Tracking Error (annualized)

4.16%

Information Ratio

0.12
Statistic Portfolio Benchmark
Downside Volatility 13.33% 13.44%
Sortino Ratio 0.58 0.55
Calmar Ratio 0.38 0.34
Ulcer Index 15.21 15.19
Max Drawdown 20.52% 21.87%
VaR (99% Confidence) $-2,875 $-2,929
VaR (99.9% Confidence) $-3,819 $-3,890
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

10.67

Skew

-0.57
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor 0.0006 0.0970 -0.0964
Duration Factor 0.3434 0.3124 0.0310
Market Factor 0.5959 0.6104 -0.0144
U.S. Tilt (Non U.S.) 0.2400 0.2159 0.0242

Adjusted R2

Portfolio 0.91
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution