Accumulation Portfolio

Portfolio Specification

Assets

Levered Risk Parity40.00%
Levered Equity12.00%
Managed Futures48.00%

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (7y 7m 17d)

Returns (annualized)

Portfolio 8.72%
Benchmark 13.95%

Risk (annualized)

Portfolio 15.22%
Benchmark 19.75%

Sharpe (annualized)

Portfolio 0.47
Benchmark 0.64

Excess Return (annualized)

-5.23%

Tracking Error (annualized)

14.26%

Information Ratio

-0.37
Statistic Portfolio Benchmark
Downside Volatility 17.22% 21.07%
Sortino Ratio 0.41 0.60
Calmar Ratio 0.24 0.37
Ulcer Index 14.76 15.06
Max Drawdown 29.36% 33.70%
VaR (99% Confidence) $-3,538 $-4,594
VaR (99.9% Confidence) $-4,701 $-6,102
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

5.10

Skew

-0.95
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5684 0.5684
Style Factor 0.0053 0.0053
Size Factor 0.0119 0.0119
U.S. Tilt (Non U.S.) -0.1260 -0.1260
High Beta (Low Beta) -0.0256 -0.0256
Vol Factor -0.0298 -0.0298
Vol Term Structure 0.0369 0.0369
Credit Factor 0.0055 0.0055
Duration Factor 0.7787 0.7787
Yield Curve Factor 0.1867 0.1867
Inflation Factor 0.5250 0.5250

Adjusted R2

Portfolio 0.73
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution