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 (6y 8m 15d)

Returns (annualized)

Portfolio 9.24%
Benchmark 13.52%

Risk (annualized)

Portfolio 15.12%
Benchmark 19.58%

Sharpe (annualized)

Portfolio 0.52
Benchmark 0.64

Excess Return (annualized)

-4.28%

Tracking Error (annualized)

14.42%

Risk Free Rate (annualized)

2.18%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.00

Skew

-0.98
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5697 0.5697
Style Factor 0.0224 0.0224
Size Factor 0.0046 0.0046
U.S. Tilt (Non U.S.) -0.0866 -0.0866
High Beta (Low Beta) -0.0222 -0.0222
Vol Factor -0.0281 -0.0281
Vol Term Structure 0.0380 0.0380
Credit Factor 0.0082 0.0082
Duration Factor 0.7956 0.7956
Yield Curve Factor 0.2024 0.2024
Inflation Factor 0.5189 0.5189

Adjusted R2

Portfolio 0.72
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution