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 3m 16d)

Returns (annualized)

Portfolio 11.50%
Benchmark 14.41%

Risk (annualized)

Portfolio 15.21%
Benchmark 19.20%

Sharpe (annualized)

Portfolio 0.63
Benchmark 0.67

Excess Return (annualized)

-2.91%

Tracking Error (annualized)

14.02%

Information Ratio

-0.21
Statistic Portfolio Benchmark
Downside Volatility 17.05% 20.48%
Sortino Ratio 0.56 0.62
Calmar Ratio 0.32 0.38
Ulcer Index 14.83 15.11
Max Drawdown 29.36% 33.70%
VaR (99% Confidence) $-3,537 $-4,465
VaR (99.9% Confidence) $-4,699 $-5,931
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

4.78

Skew

-0.90
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5916 0.9865 -0.3949
Style Factor 0.0023 0.0303 -0.0281
Size Factor 0.0218 -0.0668 0.0886
U.S. Tilt (Non U.S.) -0.1469 0.3947 -0.5416
High Beta (Low Beta) -0.0172 0.0126 -0.0298
Vol Factor -0.0269 -0.0035 -0.0235
Vol Term Structure 0.0389 -0.0067 0.0456
Credit Factor -0.0101 0.0210 -0.0312
Duration Factor 0.7849 0.0134 0.7715
Yield Curve Factor 0.1889 -0.0004 0.1893
Inflation Factor 0.5257 0.0040 0.5217

Adjusted R2

Portfolio 0.72
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution