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 (13y 10m 22d)

Returns (annualized)

Portfolio -1.92%
Benchmark 14.99%

Risk (annualized)

Portfolio 8.23%
Benchmark 16.93%

Sharpe (annualized)

Portfolio -0.38
Benchmark 0.82

Excess Return (annualized)

-16.91%

Tracking Error (annualized)

22.82%

Information Ratio

-0.74
Statistic Portfolio Benchmark
Downside Volatility 8.02% 17.92%
Sortino Ratio -0.39 0.78
Calmar Ratio -0.10 0.41
Ulcer Index 13.73 15.31
Max Drawdown 32.27% 33.70%
VaR (99% Confidence) $-1,914 $-3,937
VaR (99.9% Confidence) $-2,542 $-5,230
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

5.96

Skew

0.17
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Style Factor 0.2747 0.0232 0.2515
Size Factor -0.2412 -0.0523 -0.1889
Market Factor -0.2242 0.9884 -1.2126
U.S. Tilt (Non U.S.) -0.0222 0.4218 -0.4440

Adjusted R2

Portfolio 0.50
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution