Levered Equity

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (7y 19d)

Returns (annualized)

Portfolio 13.74%
Benchmark 13.63%

Risk (annualized)

Portfolio 55.00%
Benchmark 19.06%

Sharpe (annualized)

Portfolio 0.48
Benchmark 0.67

Excess Return (annualized)

0.11%

Tracking Error (annualized)

36.88%

Risk Free Rate (annualized)

1.95%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

15.44

Skew

-0.83
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 3.0888 3.0888
Style Factor 0.0639 0.0639
Size Factor -0.0647 -0.0647
U.S. Tilt (Non U.S.) -0.2766 -0.2766
Emerging (Developed) Factor -0.5013 -0.5013
High Beta (Low Beta) 0.0233 0.0233

Adjusted R2

Portfolio 0.99
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution