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 26d)

Returns (annualized)

Portfolio -1.99%
Benchmark 15.01%

Risk (annualized)

Portfolio 8.23%
Benchmark 16.92%

Sharpe (annualized)

Portfolio -0.38
Benchmark 0.82

Excess Return (annualized)

-17.00%

Tracking Error (annualized)

22.81%

Information Ratio

-0.75
Statistic Portfolio Benchmark
Downside Volatility 8.02% 17.91%
Sortino Ratio -0.39 0.78
Calmar Ratio -0.10 0.41
Ulcer Index 13.73 15.31
Max Drawdown 32.93% 33.70%
VaR (99% Confidence) $-1,914 $-3,936
VaR (99.9% Confidence) $-2,542 $-5,228
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 0.2750 0.0232 0.2518
Size Factor -0.2413 -0.0523 -0.1890
Market Factor -0.2242 0.9884 -1.2126
U.S. Tilt (Non U.S.) -0.0220 0.4217 -0.4437

Adjusted R2

Portfolio 0.50
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution