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 (8y 7m 8d)

Returns (annualized)

Portfolio 11.89%
Benchmark 14.99%

Risk (annualized)

Portfolio 15.24%
Benchmark 19.07%

Sharpe (annualized)

Portfolio 0.65
Benchmark 0.69

Excess Return (annualized)

-3.11%

Tracking Error (annualized)

13.90%

Information Ratio

-0.22
Statistic Portfolio Benchmark
Downside Volatility 17.16% 20.31%
Sortino Ratio 0.57 0.65
Calmar Ratio 0.33 0.39
Ulcer Index 14.86 15.13
Max Drawdown 29.36% 33.70%
VaR (99% Confidence) $-3,543 $-4,434
VaR (99.9% Confidence) $-4,706 $-5,890
Beta to Benchmark 0.55 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.66

Skew

-0.90
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5960 0.9871 -0.3912
Style Factor 0.0069 0.0293 -0.0224
Size Factor 0.0137 -0.0664 0.0801
U.S. Tilt (Non U.S.) -0.1359 0.3931 -0.5289
High Beta (Low Beta) -0.0125 0.0132 -0.0257
Vol Factor -0.0244 -0.0034 -0.0210
Vol Term Structure 0.0400 -0.0062 0.0462
Credit Factor -0.0145 0.0207 -0.0352
Duration Factor 0.7859 0.0139 0.7720
Yield Curve Factor 0.1856 -0.0006 0.1863
Inflation Factor 0.5534 0.0037 0.5497

Adjusted R2

Portfolio 0.71
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution