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 24d)

Returns (annualized)

Portfolio 10.11%
Benchmark 14.69%

Risk (annualized)

Portfolio 15.11%
Benchmark 19.38%

Sharpe (annualized)

Portfolio 0.55
Benchmark 0.68

Excess Return (annualized)

-4.58%

Tracking Error (annualized)

14.03%

Information Ratio

-0.33
Statistic Portfolio Benchmark
Downside Volatility 16.97% 20.70%
Sortino Ratio 0.49 0.63
Calmar Ratio 0.28 0.39
Ulcer Index 14.81 15.09
Max Drawdown 29.36% 33.70%
VaR (99% Confidence) $-3,515 $-4,506
VaR (99.9% Confidence) $-4,669 $-5,986
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

4.98

Skew

-0.92
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5783 0.9865 -0.4082
Style Factor 0.0028 0.0305 -0.0278
Size Factor 0.0176 -0.0669 0.0845
U.S. Tilt (Non U.S.) -0.1361 0.3951 -0.5312
High Beta (Low Beta) -0.0222 0.0130 -0.0353
Vol Factor -0.0287 -0.0035 -0.0252
Vol Term Structure 0.0377 -0.0064 0.0441
Credit Factor 0.0009 0.0210 -0.0201
Duration Factor 0.7848 0.0137 0.7711
Yield Curve Factor 0.1869 -0.0003 0.1871
Inflation Factor 0.5229 0.0038 0.5191

Adjusted R2

Portfolio 0.73
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution