Equity Factor Portfolio

Portfolio Specification

Policy Report

Backtest Report

From to (7y 4m 11d)

Returns (annualized)

Portfolio 10.52%
Benchmark 12.76%

Risk (annualized)

Portfolio 20.14%
Benchmark 20.43%

Sharpe (annualized)

Portfolio 0.48
Benchmark 0.57

Excess Return (annualized)

-2.24%

Tracking Error (annualized)

6.59%

Information Ratio

-0.34
Statistic Portfolio Benchmark
Downside Volatility 21.31% 21.65%
Sortino Ratio 0.45 0.54
Calmar Ratio 0.25 0.33
Ulcer Index 14.99 14.99
Max Drawdown 38.26% 35.22%
VaR (99% Confidence) $-4,684 $-4,750
VaR (99.9% Confidence) $-6,222 $-6,310
Beta to Benchmark 0.93 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

10.77

Skew

-0.60
Data Table
Factor Coefficients
Factor Portfolio Benchmark
High Beta (Low Beta) -0.1051 -0.1051
Market Factor 0.9691 0.9691
Size Factor 0.4453 0.4453
Style Factor 0.0568 0.0568

Adjusted R2

Portfolio 0.94
Benchmark 0.96

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution