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 11m 18d)

Returns (annualized)

Portfolio 10.29%
Benchmark 14.95%

Risk (annualized)

Portfolio 15.12%
Benchmark 19.44%

Sharpe (annualized)

Portfolio 0.56
Benchmark 0.69

Excess Return (annualized)

-4.66%

Tracking Error (annualized)

14.09%

Information Ratio

-0.33
Statistic Portfolio Benchmark
Downside Volatility 17.01% 20.73%
Sortino Ratio 0.50 0.64
Calmar Ratio 0.29 0.40
Ulcer Index 14.80 15.09
Max Drawdown 29.36% 33.70%
VaR (99% Confidence) $-3,517 $-4,521
VaR (99.9% Confidence) $-4,672 $-6,006
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

5.04

Skew

-0.93
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5757 0.9867 -0.4110
Style Factor 0.0015 0.0308 -0.0294
Size Factor 0.0191 -0.0674 0.0865
U.S. Tilt (Non U.S.) -0.1355 0.3954 -0.5310
High Beta (Low Beta) -0.0235 0.0136 -0.0371
Vol Factor -0.0288 -0.0035 -0.0253
Vol Term Structure 0.0366 -0.0065 0.0430
Credit Factor 0.0025 0.0210 -0.0184
Duration Factor 0.7817 0.0138 0.7679
Yield Curve Factor 0.1855 -0.0002 0.1857
Inflation Factor 0.5238 0.0039 0.5199

Adjusted R2

Portfolio 0.73
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution