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 8m)

Returns (annualized)

Portfolio 11.68%
Benchmark 15.04%

Risk (annualized)

Portfolio 15.24%
Benchmark 19.03%

Sharpe (annualized)

Portfolio 0.63
Benchmark 0.70

Excess Return (annualized)

-3.36%

Tracking Error (annualized)

13.87%

Information Ratio

-0.24
Statistic Portfolio Benchmark
Downside Volatility 17.16% 20.25%
Sortino Ratio 0.56 0.65
Calmar Ratio 0.33 0.39
Ulcer Index 14.86 15.13
Max Drawdown 29.36% 33.70%
VaR (99% Confidence) $-3,544 $-4,425
VaR (99.9% Confidence) $-4,707 $-5,879
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

4.62

Skew

-0.90
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5986 0.9882 -0.3896
Style Factor 0.0120 0.0309 -0.0189
Size Factor 0.0072 -0.0689 0.0761
U.S. Tilt (Non U.S.) -0.1366 0.3927 -0.5293
High Beta (Low Beta) -0.0069 0.0160 -0.0229
Vol Factor -0.0243 -0.0034 -0.0209
Vol Term Structure 0.0410 -0.0059 0.0469
Credit Factor -0.0143 0.0204 -0.0347
Duration Factor 0.7867 0.0147 0.7719
Yield Curve Factor 0.1861 -0.0001 0.1862
Inflation Factor 0.5536 0.0031 0.5505

Adjusted R2

Portfolio 0.72
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution