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 (7y 11m 27d)

Returns (annualized)

Portfolio 9.85%
Benchmark 14.54%

Risk (annualized)

Portfolio 15.11%
Benchmark 19.42%

Sharpe (annualized)

Portfolio 0.53
Benchmark 0.67

Excess Return (annualized)

-4.69%

Tracking Error (annualized)

14.08%

Information Ratio

-0.33
Statistic Portfolio Benchmark
Downside Volatility 16.98% 20.72%
Sortino Ratio 0.47 0.63
Calmar Ratio 0.27 0.39
Ulcer Index 14.80 15.09
Max Drawdown 29.36% 33.70%
VaR (99% Confidence) $-3,514 $-4,517
VaR (99.9% Confidence) $-4,668 $-6,000
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

5.03

Skew

-0.93
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5760 0.9865 -0.4106
Style Factor 0.0014 0.0307 -0.0293
Size Factor 0.0192 -0.0670 0.0862
U.S. Tilt (Non U.S.) -0.1362 0.3952 -0.5314
High Beta (Low Beta) -0.0233 0.0131 -0.0364
Vol Factor -0.0288 -0.0035 -0.0253
Vol Term Structure 0.0367 -0.0064 0.0431
Credit Factor 0.0022 0.0210 -0.0188
Duration Factor 0.7822 0.0136 0.7686
Yield Curve Factor 0.1854 -0.0003 0.1857
Inflation Factor 0.5234 0.0037 0.5197

Adjusted R2

Portfolio 0.73
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution