Accumulation Portfolio

Portfolio Specification

Assets

Levered Risk Parity 40.00%
Levered Equity 12.00%
Managed Futures 48.00%

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

This portfolio is listed on the Community Portfolios page.

Policy Report

Backtest Report

From to (7y 8m 26d)

Returns (annualized)

Portfolio 8.68%
Benchmark 14.06%

Risk (annualized)

Portfolio 15.18%
Benchmark 19.65%

Sharpe (annualized)

Portfolio 0.46
Benchmark 0.64

Excess Return (annualized)

-5.38%

Tracking Error (annualized)

14.21%

Information Ratio

-0.38
Statistic Portfolio Benchmark
Downside Volatility 17.15% 20.95%
Sortino Ratio 0.41 0.60
Calmar Ratio 0.24 0.38
Ulcer Index 14.77 15.07
Max Drawdown 29.36% 33.70%
VaR (99% Confidence) $-3,530 $-4,570
VaR (99.9% Confidence) $-4,690 $-6,071
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

5.08

Skew

-0.94
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5705 0.9864 -0.4158
Style Factor 0.0061 0.0311 -0.0250
Size Factor 0.0139 -0.0679 0.0819
U.S. Tilt (Non U.S.) -0.1286 0.3960 -0.5246
High Beta (Low Beta) -0.0269 0.0139 -0.0408
Vol Factor -0.0296 -0.0036 -0.0260
Vol Term Structure 0.0378 -0.0064 0.0442
Credit Factor 0.0037 0.0210 -0.0174
Duration Factor 0.7813 0.0138 0.7675
Yield Curve Factor 0.1871 -0.0002 0.1873
Inflation Factor 0.5255 0.0045 0.5210

Adjusted R2

Portfolio 0.73
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution