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 9m 1d)
Returns (annualized)
| Portfolio | 8.26% |
| Benchmark | 13.01% |
Risk (annualized)
| Portfolio | 20.52% |
| Benchmark | 19.55% |
Sharpe (annualized)
| Portfolio | 0.37 |
| Benchmark | 0.60 |
Excess Return (annualized)
| -4.76% |
Tracking Error (annualized)
| 14.86% |
Information Ratio
| -0.32 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 21.72% | 20.96% |
| Sortino Ratio | 0.35 | 0.56 |
| Calmar Ratio | 0.17 | 0.35 |
| Ulcer Index | 13.65 | 15.04 |
| Max Drawdown | 43.68% | 33.70% |
| VaR (99% Confidence) | $-4,771 | $-4,546 |
| VaR (99.9% Confidence) | $-6,338 | $-6,040 |
| 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
| 4.40 |
Skew
| -0.37 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Market Factor | 0.9332 | 0.9332 |
| Size Factor | 0.4240 | 0.4240 |
| U.S. Tilt (Non U.S.) | 0.2965 | 0.2965 |
| Duration Factor | 1.3066 | 1.3066 |
| Yield Curve Factor | 0.1702 | 0.1702 |
| Inflation Factor | 0.1867 | 0.1867 |
Adjusted R2
| Portfolio | 0.98 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |