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)

Policy Report

Backtest Report

From to (7y 2m 20d)

Returns (annualized)

Portfolio 9.53%
Benchmark 11.52%

Risk (annualized)

Portfolio 20.24%
Benchmark 20.53%

Sharpe (annualized)

Portfolio 0.43
Benchmark 0.52

Excess Return (annualized)

-1.99%

Tracking Error (annualized)

6.63%

Information Ratio

-0.30
Statistic Portfolio Benchmark
Downside Volatility 21.41% 21.78%
Sortino Ratio 0.41 0.49
Calmar Ratio 0.23 0.30
Ulcer Index 14.99 14.98
Max Drawdown 38.26% 35.22%
VaR (99% Confidence) $-4,706 $-4,775
VaR (99.9% Confidence) $-6,251 $-6,343
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

10.76

Skew

-0.60
Data Table
Factor Coefficients
Factor Portfolio Benchmark
High Beta (Low Beta) -0.1070 -0.1070
Market Factor 0.9686 0.9686
Size Factor 0.4448 0.4448
Style Factor 0.0576 0.0576

Adjusted R2

Portfolio 0.94
Benchmark 0.96

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution