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.

Policy Report

Backtest Report

From to (5y 10m 14d)

Returns (annualized)

Portfolio 9.91%
Benchmark 8.60%

Risk (annualized)

Portfolio 12.39%
Benchmark 12.93%

Sharpe (annualized)

Portfolio 0.65
Benchmark 0.54

Excess Return (annualized)

1.32%

Tracking Error (annualized)

4.19%

Risk Free Rate (annualized)

2.19%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

9.64

Skew

-0.61
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.0174 0.0174
Duration Factor 0.3395 0.3395
Market Factor 0.5832 0.5832
U.S. Tilt (Non U.S.) 0.2461 0.2461

Adjusted R2

Portfolio 0.91
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution