Accumulation Portfolio

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (6y 3m 20d )

Returns (annualized)

Portfolio 9.52%
Benchmark 13.43%

Risk (annualized)

Portfolio 15.26%
Benchmark 20.00%

Sharpe (annualized)

Portfolio 0.54
Benchmark 0.63

Excess Return (annualized)

-3.91%

Tracking Error (annualized)

14.71%

Risk Free Rate (annualized)

1.98%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.11

Skew

-0.99
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5562 0.5562
Style Factor 0.0155 0.0155
Size Factor 0.0101 0.0101
U.S. Tilt (Non U.S.) -0.1063 -0.1063
High Beta (Low Beta) -0.0438 -0.0438
Vol Factor -0.0338 -0.0338
Vol Term Structure 0.0264 0.0264
Credit Factor 0.0000 0.0000
Duration Factor 0.5855 0.5855
Yield Curve Factor 0.2258 0.2258
Inflation Factor 0.4233 0.4233

Adjusted R2

Portfolio 0.72
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution