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 (7y 5m 7d)

Returns (annualized)

Portfolio 7.78%
Benchmark 11.92%

Risk (annualized)

Portfolio 15.33%
Benchmark 19.83%

Sharpe (annualized)

Portfolio 0.41
Benchmark 0.55

Excess Return (annualized)

-4.13%

Tracking Error (annualized)

14.27%

Information Ratio

-0.29
Statistic Portfolio Benchmark
Downside Volatility 17.37% 21.18%
Sortino Ratio 0.36 0.51
Calmar Ratio 0.21 0.32
Ulcer Index 14.75 15.05
Max Drawdown 29.36% 33.70%
VaR (99% Confidence) $-3,564 $-4,612
VaR (99.9% Confidence) $-4,734 $-6,126
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

5.05

Skew

-0.95
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5687 0.5687
Style Factor 0.0071 0.0071
Size Factor 0.0103 0.0103
U.S. Tilt (Non U.S.) -0.1099 -0.1099
High Beta (Low Beta) -0.0200 -0.0200
Vol Factor -0.0308 -0.0308
Vol Term Structure 0.0369 0.0369
Credit Factor 0.0042 0.0042
Duration Factor 0.7822 0.7822
Yield Curve Factor 0.1942 0.1942
Inflation Factor 0.5194 0.5194

Adjusted R2

Portfolio 0.73
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution