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 8m 19d)
Returns (annualized)
| Portfolio | 7.94% |
| Benchmark | 7.48% |
Risk (annualized)
| Portfolio | 12.63% |
| Benchmark | 12.89% |
Sharpe (annualized)
| Portfolio | 0.47 |
| Benchmark | 0.43 |
Excess Return (annualized)
| 0.46% |
Tracking Error (annualized)
| 4.21% |
Information Ratio
| 0.11 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 13.59% | 13.77% |
| Sortino Ratio | 0.44 | 0.41 |
| Calmar Ratio | 0.29 | 0.26 |
| Ulcer Index | 15.17 | 15.15 |
| Max Drawdown | 20.52% | 21.87% |
| VaR (99% Confidence) | $-2,937 | $-2,996 |
| VaR (99.9% Confidence) | $-3,901 | $-3,981 |
| 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
| 10.44 |
Skew
| -0.55 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | 0.0009 | 0.0009 |
| Duration Factor | 0.3394 | 0.3394 |
| Market Factor | 0.5962 | 0.5962 |
| U.S. Tilt (Non U.S.) | 0.2406 | 0.2406 |
Adjusted R2
| Portfolio | 0.91 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |