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 2m 27d)

Returns (annualized)

Portfolio 11.08%
Benchmark 14.53%

Risk (annualized)

Portfolio 15.21%
Benchmark 19.24%

Sharpe (annualized)

Portfolio 0.60
Benchmark 0.67

Excess Return (annualized)

-3.46%

Tracking Error (annualized)

14.04%

Information Ratio

-0.25
Statistic Portfolio Benchmark
Downside Volatility 17.04% 20.52%
Sortino Ratio 0.54 0.63
Calmar Ratio 0.31 0.38
Ulcer Index 14.82 15.11
Max Drawdown 29.36% 33.70%
VaR (99% Confidence) $-3,536 $-4,474
VaR (99.9% Confidence) $-4,698 $-5,943
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

4.81

Skew

-0.90
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5900 0.9865 -0.3964
Style Factor 0.0026 0.0304 -0.0278
Size Factor 0.0220 -0.0667 0.0887
U.S. Tilt (Non U.S.) -0.1458 0.3950 -0.5408
High Beta (Low Beta) -0.0185 0.0127 -0.0313
Vol Factor -0.0272 -0.0035 -0.0237
Vol Term Structure 0.0371 -0.0066 0.0437
Credit Factor -0.0092 0.0211 -0.0303
Duration Factor 0.7875 0.0134 0.7741
Yield Curve Factor 0.1899 -0.0003 0.1903
Inflation Factor 0.5247 0.0041 0.5206

Adjusted R2

Portfolio 0.72
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution