Accumulation Portfolio

Portfolio Specification

Assets

Levered Risk Parity40.00%
Levered Equity12.00%
Managed Futures48.00%

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (7y 8m)

Returns (annualized)

Portfolio 8.95%
Benchmark 14.15%

Risk (annualized)

Portfolio 15.20%
Benchmark 19.72%

Sharpe (annualized)

Portfolio 0.48
Benchmark 0.65

Excess Return (annualized)

-5.20%

Tracking Error (annualized)

14.24%

Information Ratio

-0.37
Statistic Portfolio Benchmark
Downside Volatility 17.19% 21.04%
Sortino Ratio 0.43 0.61
Calmar Ratio 0.25 0.38
Ulcer Index 14.76 15.06
Max Drawdown 29.36% 33.70%
VaR (99% Confidence) $-3,534 $-4,586
VaR (99.9% Confidence) $-4,694 $-6,091
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

5.11

Skew

-0.95
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5683 0.5683
Style Factor 0.0050 0.0050
Size Factor 0.0122 0.0122
U.S. Tilt (Non U.S.) -0.1258 -0.1258
High Beta (Low Beta) -0.0253 -0.0253
Vol Factor -0.0297 -0.0297
Vol Term Structure 0.0372 0.0372
Credit Factor 0.0060 0.0060
Duration Factor 0.7794 0.7794
Yield Curve Factor 0.1865 0.1865
Inflation Factor 0.5249 0.5249

Adjusted R2

Portfolio 0.73
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution