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 28d)

Returns (annualized)

Portfolio 11.23%
Benchmark 13.64%

Risk (annualized)

Portfolio 15.22%
Benchmark 19.17%

Sharpe (annualized)

Portfolio 0.61
Benchmark 0.63

Excess Return (annualized)

-2.42%

Tracking Error (annualized)

14.02%

Information Ratio

-0.17
Statistic Portfolio Benchmark
Downside Volatility 17.09% 20.42%
Sortino Ratio 0.54 0.59
Calmar Ratio 0.32 0.36
Ulcer Index 14.84 15.11
Max Drawdown 29.36% 33.70%
VaR (99% Confidence) $-3,538 $-4,457
VaR (99.9% Confidence) $-4,700 $-5,921
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

4.71

Skew

-0.90
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5928 0.9865 -0.3937
Style Factor 0.0041 0.0301 -0.0260
Size Factor 0.0189 -0.0666 0.0855
U.S. Tilt (Non U.S.) -0.1399 0.3940 -0.5340
High Beta (Low Beta) -0.0186 0.0124 -0.0311
Vol Factor -0.0251 -0.0036 -0.0216
Vol Term Structure 0.0368 -0.0065 0.0433
Credit Factor -0.0129 0.0210 -0.0339
Duration Factor 0.7836 0.0136 0.7700
Yield Curve Factor 0.1869 -0.0004 0.1873
Inflation Factor 0.5476 0.0034 0.5442

Adjusted R2

Portfolio 0.71
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution