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)

Policy Report

Backtest Report

From to (13y 8m 10d)

Returns (annualized)

Portfolio -1.55%
Benchmark 14.70%

Risk (annualized)

Portfolio 8.20%
Benchmark 17.02%

Sharpe (annualized)

Portfolio -0.33
Benchmark 0.81

Excess Return (annualized)

-16.25%

Tracking Error (annualized)

22.89%

Information Ratio

-0.71
Statistic Portfolio Benchmark
Downside Volatility 8.00% 18.03%
Sortino Ratio -0.33 0.76
Calmar Ratio -0.09 0.41
Ulcer Index 13.77 15.30
Max Drawdown 31.41% 33.70%
VaR (99% Confidence) $-1,907 $-3,957
VaR (99.9% Confidence) $-2,533 $-5,257
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

6.11

Skew

0.16
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor 0.2698 0.2698
Size Factor -0.2423 -0.2423
Market Factor -0.2246 -0.2246
U.S. Tilt (Non U.S.) -0.0195 -0.0195

Adjusted R2

Portfolio 0.50
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution