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 6m 11d)

Returns (annualized)

Portfolio 12.19%
Benchmark 15.03%

Risk (annualized)

Portfolio 15.19%
Benchmark 19.09%

Sharpe (annualized)

Portfolio 0.67
Benchmark 0.70

Excess Return (annualized)

-2.83%

Tracking Error (annualized)

13.95%

Information Ratio

-0.20
Statistic Portfolio Benchmark
Downside Volatility 17.06% 20.31%
Sortino Ratio 0.59 0.65
Calmar Ratio 0.34 0.39
Ulcer Index 14.85 15.12
Max Drawdown 29.36% 33.70%
VaR (99% Confidence) $-3,532 $-4,439
VaR (99.9% Confidence) $-4,692 $-5,897
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

4.69

Skew

-0.90
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.5916 0.9867 -0.3951
Style Factor 0.0058 0.0295 -0.0237
Size Factor 0.0176 -0.0664 0.0839
U.S. Tilt (Non U.S.) -0.1352 0.3936 -0.5288
High Beta (Low Beta) -0.0185 0.0126 -0.0311
Vol Factor -0.0249 -0.0035 -0.0214
Vol Term Structure 0.0377 -0.0064 0.0441
Credit Factor -0.0120 0.0208 -0.0328
Duration Factor 0.7832 0.0138 0.7694
Yield Curve Factor 0.1865 -0.0004 0.1869
Inflation Factor 0.5532 0.0035 0.5497

Adjusted R2

Portfolio 0.71
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution