Equity Factor Portfolio

Portfolio Specification

Policy Report

Backtest Report

From to (7y 4m 24d)

Returns (annualized)

Portfolio 10.81%
Benchmark 13.01%

Risk (annualized)

Portfolio 20.10%
Benchmark 20.39%

Sharpe (annualized)

Portfolio 0.49
Benchmark 0.58

Excess Return (annualized)

-2.20%

Tracking Error (annualized)

6.59%

Information Ratio

-0.33
Statistic Portfolio Benchmark
Downside Volatility 21.30% 21.63%
Sortino Ratio 0.46 0.55
Calmar Ratio 0.26 0.34
Ulcer Index 14.99 14.99
Max Drawdown 38.26% 35.22%
VaR (99% Confidence) $-4,675 $-4,741
VaR (99.9% Confidence) $-6,211 $-6,299
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

10.81

Skew

-0.60
Data Table
Factor Coefficients
Factor Portfolio Benchmark
High Beta (Low Beta) -0.1053 -0.1053
Market Factor 0.9691 0.9691
Size Factor 0.4446 0.4446
Style Factor 0.0573 0.0573

Adjusted R2

Portfolio 0.94
Benchmark 0.96

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution