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 (4m 15d)

Returns

Portfolio -4.70%
Benchmark 8.84%

Risk (annualized)

Portfolio 10.67%
Benchmark 11.32%

Sharpe (annualized)

Portfolio -1.48
Benchmark 1.69

Excess Return

-13.54%

Tracking Error (annualized)

20.56%

Information Ratio

-1.80
Statistic Portfolio Benchmark
Downside Volatility 9.61% 12.28%
Sortino Ratio -1.65 1.56
Calmar Ratio -2.02 3.77
Ulcer Index 15.27 15.74
Max Drawdown 7.83% 5.07%
VaR (99% Confidence) $-2,469 $-2,620
VaR (99.9% Confidence) $-3,280 $-3,481
Beta to Benchmark -0.70 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

0.14

Skew

0.41
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Style Factor 0.6067 0.0105 0.5962
Size Factor -0.1647 -0.0482 -0.1164
Market Factor -0.3255 0.9985 -1.3240
U.S. Tilt (Non U.S.) -0.0606 0.3523 -0.4129

Adjusted R2

Portfolio 0.82
Benchmark 1.00

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution