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 2d)

Returns (annualized)

Portfolio -2.00%
Benchmark 15.06%

Risk (annualized)

Portfolio 8.25%
Benchmark 16.89%

Sharpe (annualized)

Portfolio -0.39
Benchmark 0.83

Excess Return (annualized)

-17.05%

Tracking Error (annualized)

22.80%

Information Ratio

-0.75
Statistic Portfolio Benchmark
Downside Volatility 8.03% 17.89%
Sortino Ratio -0.40 0.78
Calmar Ratio -0.10 0.41
Ulcer Index 13.71 15.31
Max Drawdown 33.30% 33.70%
VaR (99% Confidence) $-1,918 $-3,928
VaR (99.9% Confidence) $-2,547 $-5,218
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

5.90

Skew

0.18
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Style Factor 0.2775 0.0231 0.2544
Size Factor -0.2416 -0.0523 -0.1893
Market Factor -0.2248 0.9885 -1.2132
U.S. Tilt (Non U.S.) -0.0211 0.4213 -0.4425

Adjusted R2

Portfolio 0.50
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution