Capital Efficient Portfolio
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
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 (6y 11m 7d)
Returns (annualized)
| Portfolio | 9.54% |
| Benchmark | 9.03% |
Risk (annualized)
| Portfolio | 12.53% |
| Benchmark | 12.78% |
Sharpe (annualized)
| Portfolio | 0.59 |
| Benchmark | 0.54 |
Excess Return (annualized)
| 0.50% |
Tracking Error (annualized)
| 4.19% |
Information Ratio
| 0.12 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 13.49% | 13.66% |
| Sortino Ratio | 0.55 | 0.51 |
| Calmar Ratio | 0.36 | 0.32 |
| Ulcer Index | 15.18 | 15.16 |
| Max Drawdown | 20.52% | 21.87% |
| VaR (99% Confidence) | $-2,913 | $-2,972 |
| VaR (99.9% Confidence) | $-3,869 | $-3,949 |
| 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
| 10.49 |
Skew
| -0.56 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | 0.0015 | 0.0015 |
| Duration Factor | 0.3420 | 0.3420 |
| Market Factor | 0.5953 | 0.5953 |
| U.S. Tilt (Non U.S.) | 0.2404 | 0.2404 |
Adjusted R2
| Portfolio | 0.91 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |