Equity Factor Portfolio

Portfolio Specification

Assets

Vanguard U.S. Value Factor ETF (VFVA)
Vanguard U.S. Minimum Volatility ETF (VFMV)
Vanguard U.S. Momentum Factor ETF (VFMO)
Vanguard U.S. Quality Factor ETF (VFQY)

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Weights

Benchmark

iShares Russell 3000 ETF (IWV)

This portfolio is listed on the Community Portfolios page.

Policy Report

Backtest Report

From to (7y 8m)

Returns (annualized)

Portfolio 10.93%
Benchmark 13.35%

Risk (annualized)

Portfolio 19.89%
Benchmark 20.12%

Sharpe (annualized)

Portfolio 0.49
Benchmark 0.60

Excess Return (annualized)

-2.42%

Tracking Error (annualized)

6.58%

Information Ratio

-0.37
Statistic Portfolio Benchmark
Downside Volatility 21.01% 21.33%
Sortino Ratio 0.47 0.56
Calmar Ratio 0.26 0.34
Ulcer Index 15.02 15.02
Max Drawdown 38.26% 35.22%
VaR (99% Confidence) $-4,625 $-4,679
VaR (99.9% Confidence) $-6,144 $-6,216
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

10.93

Skew

-0.60
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
High Beta (Low Beta) -0.1060 -0.0678 -0.0382
Market Factor 0.9684 1.0426 -0.0743
Size Factor 0.4443 0.0799 0.3644
Style Factor 0.0582 -0.0886 0.1468

Adjusted R2

Portfolio 0.94
Benchmark 0.96

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution