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 9m 18d)

Returns (annualized)

Portfolio 9.07%
Benchmark 14.41%

Risk (annualized)

Portfolio 15.15%
Benchmark 19.58%

Sharpe (annualized)

Portfolio 0.49
Benchmark 0.66

Excess Return (annualized)

-5.34%

Tracking Error (annualized)

14.16%

Information Ratio

-0.38
Statistic Portfolio Benchmark
Downside Volatility 17.08% 20.86%
Sortino Ratio 0.43 0.62
Calmar Ratio 0.25 0.38
Ulcer Index 14.77 15.07
Max Drawdown 29.36% 33.70%
VaR (99% Confidence) $-3,524 $-4,554
VaR (99.9% Confidence) $-4,681 $-6,050
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 0.5710 0.9864 -0.4154
Style Factor 0.0063 0.0311 -0.0248
Size Factor 0.0150 -0.0676 0.0826
U.S. Tilt (Non U.S.) -0.1287 0.3959 -0.5246
High Beta (Low Beta) -0.0268 0.0137 -0.0406
Vol Factor -0.0297 -0.0036 -0.0261
Vol Term Structure 0.0377 -0.0064 0.0440
Credit Factor 0.0025 0.0210 -0.0185
Duration Factor 0.7831 0.0137 0.7694
Yield Curve Factor 0.1869 -0.0002 0.1872
Inflation Factor 0.5255 0.0043 0.5212

Adjusted R2

Portfolio 0.73
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution