Levered Seasons

Specification

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 (5y 11m 21d)

Returns (annualized)

Portfolio 9.21%
Benchmark 14.28%

Risk (annualized)

Portfolio 20.87%
Benchmark 20.10%

Sharpe (annualized)

Portfolio 0.42
Benchmark 0.66

Excess Return (annualized)

-5.07%

Tracking Error (annualized)

15.32%

Risk Free Rate (annualized)

2.19%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.56

Skew

-0.38
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.9315 0.9315
Size Factor 0.4253 0.4253
U.S. Tilt (Non U.S.) 0.3081 0.3081
Duration Factor 1.3084 1.3084
Yield Curve Factor 0.1699 0.1699
Inflation Factor 0.1845 0.1845

Adjusted R2

Portfolio 0.98
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution