Accumulation Portfolio

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (6y 7m 7d)

Returns (annualized)

Portfolio 9.83%
Benchmark 13.96%

Risk (annualized)

Portfolio 15.11%
Benchmark 19.68%

Sharpe (annualized)

Portfolio 0.56
Benchmark 0.66

Excess Return (annualized)

-4.13%

Tracking Error (annualized)

14.48%

Risk Free Rate (annualized)

2.13%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.11

Skew

-0.98
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.5658 0.5658
Style Factor 0.0260 0.0260
Size Factor 0.0107 0.0107
U.S. Tilt (Non U.S.) -0.0817 -0.0817
High Beta (Low Beta) -0.0241 -0.0241
Vol Factor -0.0284 -0.0284
Vol Term Structure 0.0356 0.0356
Credit Factor 0.0105 0.0105
Duration Factor 0.7950 0.7950
Yield Curve Factor 0.2025 0.2025
Inflation Factor 0.5140 0.5140

Adjusted R2

Portfolio 0.72
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution