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 28d)
Returns (annualized)
| Portfolio | 9.59% |
| Benchmark | 13.78% |
Risk (annualized)
| Portfolio | 20.84% |
| Benchmark | 19.99% |
Sharpe (annualized)
| Portfolio | 0.44 |
| Benchmark | 0.64 |
Excess Return (annualized)
| -4.19% |
Tracking Error (annualized)
| 15.31% |
Risk Free Rate (annualized)
| 2.24% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 4.51 |
Skew
| -0.37 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Market Factor | 0.9317 | 0.9317 |
| Size Factor | 0.4265 | 0.4265 |
| U.S. Tilt (Non U.S.) | 0.3071 | 0.3071 |
| Duration Factor | 1.3093 | 1.3093 |
| Yield Curve Factor | 0.1699 | 0.1699 |
| Inflation Factor | 0.1836 | 0.1836 |
Adjusted R2
| Portfolio | 0.98 |
| Benchmark | 0.99 |
Intercept
| Portfolio | -0.00 |
| Benchmark | -0.00 |