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 5m 18d)

Returns (annualized)

Portfolio 11.85%
Benchmark 14.58%

Risk (annualized)

Portfolio 15.19%
Benchmark 19.14%

Sharpe (annualized)

Portfolio 0.65
Benchmark 0.67

Excess Return (annualized)

-2.72%

Tracking Error (annualized)

13.99%

Information Ratio

-0.19
Statistic Portfolio Benchmark
Downside Volatility 17.06% 20.37%
Sortino Ratio 0.58 0.63
Calmar Ratio 0.33 0.38
Ulcer Index 14.85 15.12
Max Drawdown 29.36% 33.70%
VaR (99% Confidence) $-3,533 $-4,451
VaR (99.9% Confidence) $-4,694 $-5,913
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

4.71

Skew

-0.90
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5910 0.9869 -0.3959
Style Factor 0.0040 0.0298 -0.0258
Size Factor 0.0186 -0.0665 0.0851
U.S. Tilt (Non U.S.) -0.1365 0.3934 -0.5299
High Beta (Low Beta) -0.0179 0.0125 -0.0304
Vol Factor -0.0250 -0.0035 -0.0215
Vol Term Structure 0.0371 -0.0064 0.0435
Credit Factor -0.0110 0.0206 -0.0316
Duration Factor 0.7838 0.0135 0.7703
Yield Curve Factor 0.1862 -0.0004 0.1866
Inflation Factor 0.5513 0.0032 0.5482

Adjusted R2

Portfolio 0.71
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution