Accumulation Portfolio

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Assets
Levered Risk Parity40.00%
Levered Equity12.00%
Managed Futures48.00%
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (7y 2m 6d)

Returns (annualized)

Portfolio 8.85%
Benchmark 14.16%

Risk (annualized)

Portfolio 15.09%
Benchmark 19.27%

Sharpe (annualized)

Portfolio 0.48
Benchmark 0.66

Excess Return (annualized)

-5.31%

Tracking Error (annualized)

14.14%

Information Ratio

-0.38
Statistic Portfolio Benchmark
Downside Volatility 17.04% 20.70%
Sortino Ratio 0.43 0.62
Calmar Ratio 0.25 0.38
Ulcer Index 14.74 15.06
Max Drawdown 29.36% 33.70%
VaR (99% Confidence) $-3,510 $-4,481
VaR (99.9% Confidence) $-4,662 $-5,952
Beta to Benchmark 0.54 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.82

Skew

-0.97
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5647 0.5647
Style Factor 0.0103 0.0103
Size Factor 0.0112 0.0112
U.S. Tilt (Non U.S.) -0.0981 -0.0981
High Beta (Low Beta) -0.0198 -0.0198
Vol Factor -0.0321 -0.0321
Vol Term Structure 0.0322 0.0322
Credit Factor 0.0028 0.0028
Duration Factor 0.7968 0.7968
Yield Curve Factor 0.1959 0.1959
Inflation Factor 0.5232 0.5232

Adjusted R2

Portfolio 0.72
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution