Equity Factor Portfolio

Specification

Benchmark
iShares Russell 3000 ETF (IWV)

Policy Report

Backtest Report

From to (6y 5m)

Returns (annualized)

Portfolio 11.25%
Benchmark 13.12%

Risk (annualized)

Portfolio 20.19%
Benchmark 20.42%

Sharpe (annualized)

Portfolio 0.52
Benchmark 0.60

Excess Return (annualized)

-1.87%

Tracking Error (annualized)

6.69%

Risk Free Rate (annualized)

2.20%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

10.90

Skew

-0.74
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.9432 0.9432
Style Factor 0.1639 0.1639
Size Factor 0.3870 0.3870
U.S. Tilt (Non U.S.) 0.3583 0.3583

Adjusted R2

Portfolio 0.96
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution