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 1m 27d)

Returns (annualized)

Portfolio 10.61%
Benchmark 14.72%

Risk (annualized)

Portfolio 15.11%
Benchmark 19.30%

Sharpe (annualized)

Portfolio 0.58
Benchmark 0.68

Excess Return (annualized)

-4.11%

Tracking Error (annualized)

13.99%

Information Ratio

-0.29
Statistic Portfolio Benchmark
Downside Volatility 16.94% 20.60%
Sortino Ratio 0.51 0.64
Calmar Ratio 0.30 0.39
Ulcer Index 14.81 15.10
Max Drawdown 29.36% 33.70%
VaR (99% Confidence) $-3,513 $-4,488
VaR (99.9% Confidence) $-4,666 $-5,961
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

4.94

Skew

-0.92
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5824 0.9865 -0.4041
Style Factor 0.0053 0.0305 -0.0252
Size Factor 0.0179 -0.0670 0.0850
U.S. Tilt (Non U.S.) -0.1358 0.3952 -0.5310
High Beta (Low Beta) -0.0207 0.0130 -0.0337
Vol Factor -0.0283 -0.0035 -0.0248
Vol Term Structure 0.0374 -0.0064 0.0438
Credit Factor -0.0022 0.0211 -0.0233
Duration Factor 0.7864 0.0137 0.7727
Yield Curve Factor 0.1871 -0.0003 0.1874
Inflation Factor 0.5207 0.0040 0.5168

Adjusted R2

Portfolio 0.72
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution