Levered Seasons
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
Portfolio 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 26d)
Returns (annualized)
| Portfolio | 6.92% |
| Benchmark | 12.02% |
Risk (annualized)
| Portfolio | 20.93% |
| Benchmark | 20.25% |
Sharpe (annualized)
| Portfolio | 0.31 |
| Benchmark | 0.54 |
Excess Return (annualized)
| -5.09% |
Tracking Error (annualized)
| 14.92% |
Information Ratio
| -0.34 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 22.21% | 21.55% |
| Sortino Ratio | 0.29 | 0.51 |
| Calmar Ratio | 0.15 | 0.33 |
| Ulcer Index | 13.63 | 15.03 |
| Max Drawdown | 43.68% | 33.70% |
| VaR (99% Confidence) | $-4,867 | $-4,709 |
| VaR (99.9% Confidence) | $-6,466 | $-6,256 |
| 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
| 4.55 |
Skew
| -0.33 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Market Factor | 0.9353 | 0.9353 |
| Size Factor | 0.4241 | 0.4241 |
| U.S. Tilt (Non U.S.) | 0.2954 | 0.2954 |
| Duration Factor | 1.3050 | 1.3050 |
| Yield Curve Factor | 0.1742 | 0.1742 |
| Inflation Factor | 0.1842 | 0.1842 |
Adjusted R2
| Portfolio | 0.98 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |