Accumulation Portfolio

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Assets
Levered Risk Parity40.00%
Levered Equity12.00%
Managed Futures48.00%
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (6y 5m 15d)

Returns (annualized)

Portfolio 9.68%
Benchmark 12.83%

Risk (annualized)

Portfolio 15.14%
Benchmark 19.84%

Sharpe (annualized)

Portfolio 0.55
Benchmark 0.61

Excess Return (annualized)

-3.15%

Tracking Error (annualized)

14.57%

Risk Free Rate (annualized)

2.06%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.18

Skew

-0.99
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5626 0.5626
Style Factor 0.0291 0.0291
Size Factor 0.0060 0.0060
U.S. Tilt (Non U.S.) -0.0773 -0.0773
High Beta (Low Beta) -0.0255 -0.0255
Vol Factor -0.0291 -0.0291
Vol Term Structure 0.0348 0.0348
Credit Factor 0.0131 0.0131
Duration Factor 0.8034 0.8034
Yield Curve Factor 0.2042 0.2042
Inflation Factor 0.5131 0.5131

Adjusted R2

Portfolio 0.72
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution