Min Vol Factor

Specification

Policy
Rebalancing Interval Daily
Weights Algorithm Constant Weights
Weights Updating Interval Daily
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%
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (12y 6m 2d)

Returns (annualized)

Portfolio -1.71%
Benchmark 14.20%

Risk (annualized)

Portfolio 7.67%
Benchmark 16.80%

Sharpe (annualized)

Portfolio -0.34
Benchmark 0.81

Excess Return (annualized)

-15.92%

Tracking Error (annualized)

22.15%

Risk Free Rate (annualized)

1.16%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

3.69

Skew

0.11
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor 0.2097 0.2097
Size Factor -0.2367 -0.2367
Market Factor -0.2193 -0.2193
U.S. Tilt (Non U.S.) 0.0030 0.0030

Adjusted R2

Portfolio 0.46
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution