Levered Seasons

Portfolio Specification

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 (7y 3m 12d)

Returns (annualized)

Portfolio 10.34%
Benchmark 15.04%

Risk (annualized)

Portfolio 20.56%
Benchmark 19.80%

Sharpe (annualized)

Portfolio 0.46
Benchmark 0.68

Excess Return (annualized)

-4.71%

Tracking Error (annualized)

14.59%

Information Ratio

-0.32
Statistic Portfolio Benchmark
Downside Volatility 21.81% 21.02%
Sortino Ratio 0.43 0.64
Calmar Ratio 0.22 0.40
Ulcer Index 13.58 15.07
Max Drawdown 43.68% 33.70%
VaR (99% Confidence) $-4,782 $-4,603
VaR (99.9% Confidence) $-6,352 $-6,115
Beta to Benchmark 0.77 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.66

Skew

-0.34
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.9340 0.9911 -0.0572
Size Factor 0.4235 -0.0463 0.4698
U.S. Tilt (Non U.S.) 0.2908 0.3841 -0.0933
Duration Factor 1.3036 0.0056 1.2980
Yield Curve Factor 0.1735 0.0003 0.1732
Inflation Factor 0.1870 0.0165 0.1705

Adjusted R2

Portfolio 0.98
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution