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 4m 30d)

Returns (annualized)

Portfolio 11.48%
Benchmark 14.05%

Risk (annualized)

Portfolio 15.22%
Benchmark 19.18%

Sharpe (annualized)

Portfolio 0.62
Benchmark 0.65

Excess Return (annualized)

-2.57%

Tracking Error (annualized)

14.02%

Information Ratio

-0.18
Statistic Portfolio Benchmark
Downside Volatility 17.09% 20.42%
Sortino Ratio 0.56 0.61
Calmar Ratio 0.32 0.37
Ulcer Index 14.84 15.11
Max Drawdown 29.36% 33.70%
VaR (99% Confidence) $-3,538 $-4,460
VaR (99.9% Confidence) $-4,701 $-5,925
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 0.5908 0.9866 -0.3959
Style Factor 0.0039 0.0302 -0.0263
Size Factor 0.0193 -0.0666 0.0859
U.S. Tilt (Non U.S.) -0.1372 0.3938 -0.5310
High Beta (Low Beta) -0.0190 0.0125 -0.0315
Vol Factor -0.0251 -0.0036 -0.0215
Vol Term Structure 0.0370 -0.0065 0.0435
Credit Factor -0.0109 0.0209 -0.0318
Duration Factor 0.7837 0.0136 0.7702
Yield Curve Factor 0.1864 -0.0004 0.1868
Inflation Factor 0.5506 0.0032 0.5474

Adjusted R2

Portfolio 0.71
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution