Min Vol Factor

Portfolio Specification

Assets

ISHARES MSCI USA MIN VOL FACTOR ETF (USMV) 100.00%
iShares Core S&P Total U.S. Stock Market ETF (ITOT) -100.00%
iShares 1-3 Year Treasury Bond ETF (SHY) 100.00%

Policy

Rebalancing Interval Daily
Weights Algorithm Constant Weights
Weights Updating Interval Daily

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (14y 5m 3d)

Returns (annualized)

Portfolio -1.88%
Benchmark 14.42%

Risk (annualized)

Portfolio 8.32%
Benchmark 16.78%

Sharpe (annualized)

Portfolio -0.37
Benchmark 0.79

Excess Return (annualized)

-16.30%

Tracking Error (annualized)

22.75%

Information Ratio

-0.72
Statistic Portfolio Benchmark
Downside Volatility 8.06% 17.77%
Sortino Ratio -0.39 0.75
Calmar Ratio -0.09 0.40
Ulcer Index 13.63 15.32
Max Drawdown 35.54% 33.70%
VaR (99% Confidence) $-1,934 $-3,901
VaR (99.9% Confidence) $-2,570 $-5,183
Beta to Benchmark -0.30 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.54

Skew

0.19
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Style Factor 0.2863 0.0227 0.2637
Size Factor -0.2418 -0.0521 -0.1896
Market Factor -0.2258 0.9887 -1.2145
U.S. Tilt (Non U.S.) -0.0217 0.4198 -0.4415

Adjusted R2

Portfolio 0.50
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution