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 10m 6d)

Returns (annualized)

Portfolio 9.74%
Benchmark 14.57%

Risk (annualized)

Portfolio 15.13%
Benchmark 19.53%

Sharpe (annualized)

Portfolio 0.53
Benchmark 0.67

Excess Return (annualized)

-4.83%

Tracking Error (annualized)

14.14%

Information Ratio

-0.34
Statistic Portfolio Benchmark
Downside Volatility 17.06% 20.81%
Sortino Ratio 0.47 0.63
Calmar Ratio 0.27 0.39
Ulcer Index 14.78 15.08
Max Drawdown 29.36% 33.70%
VaR (99% Confidence) $-3,518 $-4,543
VaR (99.9% Confidence) $-4,674 $-6,034
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

-0.94
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5715 0.9864 -0.4149
Style Factor 0.0056 0.0311 -0.0254
Size Factor 0.0142 -0.0677 0.0818
U.S. Tilt (Non U.S.) -0.1294 0.3960 -0.5254
High Beta (Low Beta) -0.0256 0.0138 -0.0394
Vol Factor -0.0296 -0.0036 -0.0260
Vol Term Structure 0.0377 -0.0063 0.0441
Credit Factor 0.0028 0.0210 -0.0181
Duration Factor 0.7836 0.0138 0.7699
Yield Curve Factor 0.1874 -0.0003 0.1877
Inflation Factor 0.5253 0.0042 0.5211

Adjusted R2

Portfolio 0.73
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution