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 (7y 10m 29d)

Returns (annualized)

Portfolio 10.05%
Benchmark 14.72%

Risk (annualized)

Portfolio 15.10%
Benchmark 19.46%

Sharpe (annualized)

Portfolio 0.55
Benchmark 0.68

Excess Return (annualized)

-4.67%

Tracking Error (annualized)

14.10%

Information Ratio

-0.33
Statistic Portfolio Benchmark
Downside Volatility 17.01% 20.73%
Sortino Ratio 0.48 0.63
Calmar Ratio 0.28 0.39
Ulcer Index 14.79 15.08
Max Drawdown 29.36% 33.70%
VaR (99% Confidence) $-3,511 $-4,525
VaR (99.9% Confidence) $-4,664 $-6,011
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

5.10

Skew

-0.94
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5737 0.9865 -0.4128
Style Factor 0.0041 0.0311 -0.0270
Size Factor 0.0157 -0.0677 0.0834
U.S. Tilt (Non U.S.) -0.1309 0.3957 -0.5267
High Beta (Low Beta) -0.0255 0.0136 -0.0391
Vol Factor -0.0291 -0.0035 -0.0256
Vol Term Structure 0.0380 -0.0063 0.0443
Credit Factor 0.0014 0.0209 -0.0195
Duration Factor 0.7832 0.0139 0.7692
Yield Curve Factor 0.1870 -0.0002 0.1872
Inflation Factor 0.5248 0.0042 0.5207

Adjusted R2

Portfolio 0.73
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution