Bitcoin

Specification

Policy
Rebalancing Interval Daily
Weights Algorithm Equal Risk Contribution
Weights Algorithm Look-back 1 Year
Weights Updating Interval Quarterly
Benchmark
iShares Russell 3000 ETF (IWV)

Policy Report

Backtest Report

From to (6y 5m 23d )

Returns (annualized)

Portfolio 16.85%
Benchmark 11.92%

Risk (annualized)

Portfolio 14.94%
Benchmark 19.68%

Sharpe (annualized)

Portfolio 1.05
Benchmark 0.62

Excess Return (annualized)

4.93%

Tracking Error (annualized)

11.08%

Risk Free Rate (annualized)

1.05%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

11.01

Skew

-0.71
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.6275 0.6275
Style Factor -0.1083 -0.1083
Size Factor 0.1422 0.1422
U.S. Tilt (Non U.S.) 0.1382 0.1382
Vol Factor 0.0110 0.0110
Vol Term Structure -0.0084 -0.0084
Credit Factor 0.2189 0.2189
Duration Factor 0.1143 0.1143
Yield Curve Factor -0.0159 -0.0159

Adjusted R2

Portfolio 0.71
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution