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 10m 28d)

Returns (annualized)

Portfolio 9.10%
Benchmark 14.17%

Risk (annualized)

Portfolio 15.22%
Benchmark 19.48%

Sharpe (annualized)

Portfolio 0.50
Benchmark 0.66

Excess Return (annualized)

-5.07%

Tracking Error (annualized)

14.32%

Information Ratio

-0.35
Statistic Portfolio Benchmark
Downside Volatility 17.18% 20.89%
Sortino Ratio 0.44 0.62
Calmar Ratio 0.26 0.38
Ulcer Index 14.74 15.03
Max Drawdown 29.36% 33.70%
VaR (99% Confidence) $-3,539 $-4,529
VaR (99.9% Confidence) $-4,701 $-6,016
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

4.81

Skew

-0.97
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5637 0.5637
Style Factor 0.0172 0.0172
Size Factor 0.0114 0.0114
U.S. Tilt (Non U.S.) -0.0982 -0.0982
High Beta (Low Beta) -0.0231 -0.0231
Vol Factor -0.0331 -0.0331
Vol Term Structure 0.0329 0.0329
Credit Factor 0.0008 0.0008
Duration Factor 0.8028 0.8028
Yield Curve Factor 0.1990 0.1990
Inflation Factor 0.5138 0.5138

Adjusted R2

Portfolio 0.72
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution