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 19d)

Returns (annualized)

Portfolio 11.53%
Benchmark 14.49%

Risk (annualized)

Portfolio 15.22%
Benchmark 19.00%

Sharpe (annualized)

Portfolio 0.62
Benchmark 0.67

Excess Return (annualized)

-2.96%

Tracking Error (annualized)

13.85%

Information Ratio

-0.21
Statistic Portfolio Benchmark
Downside Volatility 17.09% 20.21%
Sortino Ratio 0.56 0.63
Calmar Ratio 0.32 0.38
Ulcer Index 14.86 15.13
Max Drawdown 29.36% 33.70%
VaR (99% Confidence) $-3,540 $-4,417
VaR (99.9% Confidence) $-4,702 $-5,868
Beta to Benchmark 0.56 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.61

Skew

-0.89
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5984 0.9882 -0.3898
Style Factor 0.0099 0.0301 -0.0202
Size Factor 0.0079 -0.0687 0.0766
U.S. Tilt (Non U.S.) -0.1389 0.3920 -0.5308
High Beta (Low Beta) -0.0067 0.0163 -0.0230
Vol Factor -0.0242 -0.0034 -0.0208
Vol Term Structure 0.0406 -0.0057 0.0463
Credit Factor -0.0146 0.0205 -0.0351
Duration Factor 0.7840 0.0145 0.7695
Yield Curve Factor 0.1858 -0.0001 0.1859
Inflation Factor 0.5572 0.0028 0.5544

Adjusted R2

Portfolio 0.71
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution