Levered Seasons
Specification
Policy
Rebalancing Interval | Quarterly |
---|---|
Weights Algorithm | Constant Weights |
Assets
Benchmark
SPDR S&P 500 ETF Trust (SPY) |
Description
The Levered Seasons Portfolio is based on the construction shown over at Risk Parity Chronicles as part of their suite of test portfolios. It is intended to reflect a levered version of a more traditional “all-weather” or “all-seasons” portfolio.
While only 30% of the portfolio is invested inequity, the small- and large-cap asset classes seem to be contributing well over 80% of the risk in the portfolio. Therefore, this strategy may be best for someone still in their accumulation stage.
Policy Report
Backtest Report
From to (6y 5m 15d)
Returns (annualized)
Portfolio | 10.22% |
Benchmark | 14.99% |
Risk (annualized)
Portfolio | 20.61% |
Benchmark | 19.67% |
Sharpe (annualized)
Portfolio | 0.46 |
Benchmark | 0.69 |
Excess Return (annualized)
-4.78% |
Tracking Error (annualized)
15.04% |
Information Ratio
-0.32 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 21.84% | 21.05% |
Sortino Ratio | 0.44 | 0.64 |
Calmar Ratio | 0.22 | 0.40 |
Ulcer Index | 13.70 | 15.03 |
Max Drawdown | 43.68% | 33.70% |
VaR (99% Confidence) | $-4,793 | $-4,573 |
VaR (99.9% Confidence) | $-6,367 | $-6,075 |
Beta to Benchmark | 0.76 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
4.44 |
Skew
-0.37 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Market Factor | 0.9338 | 0.9338 |
Size Factor | 0.4230 | 0.4230 |
U.S. Tilt (Non U.S.) | 0.2991 | 0.2991 |
Duration Factor | 1.3087 | 1.3087 |
Yield Curve Factor | 0.1699 | 0.1699 |
Inflation Factor | 0.1863 | 0.1863 |
Adjusted R2
Portfolio | 0.98 |
Benchmark | 0.99 |
Intercept
Portfolio | -0.00 |
Benchmark | -0.00 |