Capital Efficient Portfolio
Specification
Policy
Rebalancing Interval | Quarterly |
---|---|
Weights Algorithm | Constant Weights |
Benchmark
US 60/40 |
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.
Assets Report
Policy Report
Backtest Report
From to (5y 11m 22d)
Returns (annualized)
Portfolio | 9.50% |
Benchmark | 8.44% |
Risk (annualized)
Portfolio | 12.34% |
Benchmark | 12.86% |
Sharpe (annualized)
Portfolio | 0.62 |
Benchmark | 0.52 |
Excess Return (annualized)
1.05% |
Tracking Error (annualized)
4.18% |
Risk Free Rate (annualized)
2.24% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
9.64 |
Skew
-0.61 |
Factor Analysis
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Credit Factor | 0.0166 | 0.0166 |
Duration Factor | 0.3406 | 0.3406 |
Market Factor | 0.5841 | 0.5841 |
U.S. Tilt (Non U.S.) | 0.2447 | 0.2447 |
Adjusted R2
Portfolio | 0.91 |
Benchmark | 0.99 |
Intercept
Portfolio | 0.00 |
Benchmark | -0.00 |