Equity Factor Portfolio

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Weights
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)
Benchmark
iShares Russell 3000 ETF (IWV)

Policy Report

Backtest Report

From to (6y 8m 2d)

Returns (annualized)

Portfolio 11.37%
Benchmark 13.22%

Risk (annualized)

Portfolio 20.05%
Benchmark 20.26%

Sharpe (annualized)

Portfolio 0.52
Benchmark 0.60

Excess Return (annualized)

-1.86%

Tracking Error (annualized)

6.65%

Information Ratio

-0.28
Statistic Portfolio Benchmark
Downside Volatility 21.39% 21.58%
Sortino Ratio 0.49 0.57
Calmar Ratio 0.27 0.35
Ulcer Index 14.99 14.96
Max Drawdown 38.26% 35.22%
VaR (99% Confidence) $-4,663 $-4,711
VaR (99.9% Confidence) $-6,194 $-6,258
Beta to Benchmark 0.94 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

10.79

Skew

-0.74
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.9451 0.9451
Style Factor 0.1626 0.1626
Size Factor 0.3861 0.3861
U.S. Tilt (Non U.S.) 0.3569 0.3569

Adjusted R2

Portfolio 0.96
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution