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 (7y 2m 6d)
Returns (annualized)
| Portfolio | 9.96% |
| Benchmark | 9.51% |
Risk (annualized)
| Portfolio | 12.37% |
| Benchmark | 12.60% |
Sharpe (annualized)
| Portfolio | 0.62 |
| Benchmark | 0.58 |
Excess Return (annualized)
| 0.45% |
Tracking Error (annualized)
| 4.16% |
Information Ratio
| 0.11 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 13.32% | 13.44% |
| Sortino Ratio | 0.58 | 0.54 |
| Calmar Ratio | 0.37 | 0.33 |
| Ulcer Index | 15.20 | 15.18 |
| Max Drawdown | 20.52% | 21.87% |
| VaR (99% Confidence) | $-2,877 | $-2,930 |
| VaR (99.9% Confidence) | $-3,822 | $-3,892 |
| 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
| 10.69 |
Skew
| -0.57 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | 0.0005 | 0.0969 | -0.0964 |
| Duration Factor | 0.3432 | 0.3122 | 0.0310 |
| Market Factor | 0.5959 | 0.6104 | -0.0145 |
| U.S. Tilt (Non U.S.) | 0.2402 | 0.2160 | 0.0242 |
Adjusted R2
| Portfolio | 0.91 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |