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 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 | 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 |