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 8m 22d)

Returns (annualized)

Portfolio 8.55%
Benchmark 13.93%

Risk (annualized)

Portfolio 15.18%
Benchmark 19.65%

Sharpe (annualized)

Portfolio 0.46
Benchmark 0.64

Excess Return (annualized)

-5.38%

Tracking Error (annualized)

14.22%

Information Ratio

-0.38
Statistic Portfolio Benchmark
Downside Volatility 17.16% 20.96%
Sortino Ratio 0.40 0.60
Calmar Ratio 0.24 0.37
Ulcer Index 14.77 15.07
Max Drawdown 29.36% 33.70%
VaR (99% Confidence) $-3,530 $-4,570
VaR (99.9% Confidence) $-4,690 $-6,071
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

5.08

Skew

-0.95
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5705 0.5705
Style Factor 0.0060 0.0060
Size Factor 0.0143 0.0143
U.S. Tilt (Non U.S.) -0.1289 -0.1289
High Beta (Low Beta) -0.0270 -0.0270
Vol Factor -0.0296 -0.0296
Vol Term Structure 0.0378 0.0378
Credit Factor 0.0038 0.0038
Duration Factor 0.7811 0.7811
Yield Curve Factor 0.1873 0.1873
Inflation Factor 0.5251 0.5251

Adjusted R2

Portfolio 0.73
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution