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 4m 11d)

Returns (annualized)

Portfolio 8.97%
Benchmark 13.10%

Risk (annualized)

Portfolio 15.03%
Benchmark 19.20%

Sharpe (annualized)

Portfolio 0.49
Benchmark 0.62

Excess Return (annualized)

-4.13%

Tracking Error (annualized)

14.05%

Information Ratio

-0.29
Statistic Portfolio Benchmark
Downside Volatility 16.95% 20.65%
Sortino Ratio 0.43 0.57
Calmar Ratio 0.25 0.35
Ulcer Index 14.75 15.06
Max Drawdown 29.36% 33.70%
VaR (99% Confidence) $-3,496 $-4,465
VaR (99.9% Confidence) $-4,644 $-5,931
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

4.78

Skew

-0.96
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5664 0.5664
Style Factor 0.0074 0.0074
Size Factor 0.0091 0.0091
U.S. Tilt (Non U.S.) -0.1019 -0.1019
High Beta (Low Beta) -0.0167 -0.0167
Vol Factor -0.0315 -0.0315
Vol Term Structure 0.0320 0.0320
Credit Factor 0.0039 0.0039
Duration Factor 0.7866 0.7866
Yield Curve Factor 0.1955 0.1955
Inflation Factor 0.5240 0.5240

Adjusted R2

Portfolio 0.72
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution