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 4m 9d)

Returns (annualized)

Portfolio 11.09%
Benchmark 13.70%

Risk (annualized)

Portfolio 15.21%
Benchmark 19.16%

Sharpe (annualized)

Portfolio 0.60
Benchmark 0.63

Excess Return (annualized)

-2.61%

Tracking Error (annualized)

14.02%

Information Ratio

-0.19
Statistic Portfolio Benchmark
Downside Volatility 17.06% 20.42%
Sortino Ratio 0.54 0.59
Calmar Ratio 0.31 0.36
Ulcer Index 14.84 15.11
Max Drawdown 29.36% 33.70%
VaR (99% Confidence) $-3,537 $-4,456
VaR (99.9% Confidence) $-4,699 $-5,920
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

4.74

Skew

-0.90
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5942 0.9864 -0.3922
Style Factor 0.0011 0.0301 -0.0290
Size Factor 0.0201 -0.0665 0.0866
U.S. Tilt (Non U.S.) -0.1445 0.3942 -0.5387
High Beta (Low Beta) -0.0190 0.0124 -0.0314
Vol Factor -0.0255 -0.0036 -0.0220
Vol Term Structure 0.0357 -0.0066 0.0423
Credit Factor -0.0137 0.0211 -0.0348
Duration Factor 0.7834 0.0134 0.7699
Yield Curve Factor 0.1876 -0.0004 0.1880
Inflation Factor 0.5412 0.0034 0.5379

Adjusted R2

Portfolio 0.71
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution