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 1m 1d)

Returns (annualized)

Portfolio 10.19%
Benchmark 14.75%

Risk (annualized)

Portfolio 15.10%
Benchmark 19.35%

Sharpe (annualized)

Portfolio 0.55
Benchmark 0.68

Excess Return (annualized)

-4.56%

Tracking Error (annualized)

14.02%

Information Ratio

-0.33
Statistic Portfolio Benchmark
Downside Volatility 16.94% 20.67%
Sortino Ratio 0.49 0.64
Calmar Ratio 0.28 0.39
Ulcer Index 14.81 15.10
Max Drawdown 29.36% 33.70%
VaR (99% Confidence) $-3,512 $-4,501
VaR (99.9% Confidence) $-4,666 $-5,979
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 0.5785 0.9865 -0.4080
Style Factor 0.0034 0.0306 -0.0272
Size Factor 0.0180 -0.0670 0.0850
U.S. Tilt (Non U.S.) -0.1361 0.3951 -0.5313
High Beta (Low Beta) -0.0228 0.0130 -0.0358
Vol Factor -0.0288 -0.0035 -0.0253
Vol Term Structure 0.0379 -0.0064 0.0443
Credit Factor 0.0001 0.0210 -0.0209
Duration Factor 0.7852 0.0137 0.7716
Yield Curve Factor 0.1866 -0.0003 0.1869
Inflation Factor 0.5227 0.0038 0.5189

Adjusted R2

Portfolio 0.73
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution