Min Vol Factor

5fc526db1e2f0a25f6ccf863

Asset Report

Selected Assets

Asset ID Name Earliest
Return Date		 Latest
Return Date		 Type
USMV ISHARES MSCI USA MIN VOL FACTOR ETF 2011-10-21 2023-11-27 ETF
ITOT iShares Core S&P Total U.S. Stock Market ETF 2004-01-26 2023-11-27 ETF
SHY iShares 1-3 Year Treasury Bond ETF 2002-07-29 2023-11-27 ETF
Benchmark
SPY SPDR S&P 500 ETF Trust 1999-11-02 2023-11-27 ETF

Periodic Metrics

1 Day 1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
USMV -0.24 1.16 5.21 2.11 3.24 5.30 7.52 9.14 10.79 2011-10-21
ITOT -0.15 0.78 9.46 2.72 11.38 6.23 9.98 9.06 7.60 2004-01-26
SHY 0.09 0.10 0.53 1.01 2.31 -0.51 0.80 0.59 1.45 2002-07-29
Benchmark -0.15 0.69 8.47 3.09 12.31 7.97 10.89 9.77 5.90 1999-11-02
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
USMV 0.30 0.53 0.53 0.59 11.84 15.89 13.12 12.63 2011-10-21
ITOT 0.42 0.74 0.81 0.87 16.96 20.16 16.48 17.53 2004-01-26
SHY 0.05 0.11 0.09 0.13 1.57 1.36 1.08 1.27 2002-07-29
Benchmark 0.35 0.62 0.69 0.75 14.89 17.72 14.62 17.13 1999-11-02
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
USMV 0.28 0.47 0.69 0.81 0.94 2011-10-21
ITOT 1.00 0.59 0.95 0.83 0.71 2004-01-26
SHY 0.20 -0.06 0.07 0.05 0.13 2002-07-29
Benchmark 1.06 0.72 0.99 0.87 0.56 1999-11-02

Correlation Matrix

USMV ITOT SHY
USMV 1 0.91 -0.05
ITOT 0.91 1 -0.11
SHY -0.05 -0.11 1
Documentation

Policy Report

Expected Risk

7.11%

Unique Bets

0.1

Back Test Report

Key Statistics

Returns

Portfolio
-0.32%
Benchmark
11.37%

Risk

Portfolio
7.11%
Benchmark
14.15%

Sharpe Ratio

Portfolio
-0.41
Benchmark
0.63

Excess Returns

-11.69%

Tracking Error

19.31%

Risk Free Rate

2.86%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

3.7

Skew

0.12

Excess Kurtosis

7.11

Excess Skew

0.42

Documentation

Factor Analysis

Factor Coefficients

Intercept

0.0001

Adjusted R2

0.49

Documentation

Factor Attribution

Documentation

Specification You may be able to interact with your portfolio programmatically. This is new functionality that is still a work in progress. Go Reference 
name: Min Vol Factor
benchmark:
    id: SPY
assets:
    - id: USMV
    - id: ITOT
    - id: SHY
policy:
    rebalancing_interval: Daily
    weights:
        - 100
        - -100
        - 100
    weights_algorithm: UserInput
    weights_updating_interval: Daily