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)

Policy Report

Backtest Report

From to (13y 6m 17d)

Returns (annualized)

Portfolio -1.11%
Benchmark 14.09%

Risk (annualized)

Portfolio 8.15%
Benchmark 17.04%

Sharpe (annualized)

Portfolio -0.27
Benchmark 0.78

Excess Return (annualized)

-15.20%

Tracking Error (annualized)

22.88%

Information Ratio

-0.66
Statistic Portfolio Benchmark
Downside Volatility 7.90% 18.08%
Sortino Ratio -0.28 0.73
Calmar Ratio -0.07 0.39
Ulcer Index 13.79 15.30
Max Drawdown 31.41% 33.70%
VaR (99% Confidence) $-1,895 $-3,964
VaR (99.9% Confidence) $-2,518 $-5,266
Beta to Benchmark -0.29 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

6.11

Skew

0.21
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor 0.2641 0.2641
Size Factor -0.2408 -0.2408
Market Factor -0.2247 -0.2247
U.S. Tilt (Non U.S.) -0.0158 -0.0158

Adjusted R2

Portfolio 0.50
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution