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 10m 3d)

Returns (annualized)

Portfolio 10.65%
Benchmark 12.93%

Risk (annualized)

Portfolio 19.95%
Benchmark 20.12%

Sharpe (annualized)

Portfolio 0.49
Benchmark 0.59

Excess Return (annualized)

-2.28%

Tracking Error (annualized)

6.64%

Information Ratio

-0.34
Statistic Portfolio Benchmark
Downside Volatility 21.20% 21.44%
Sortino Ratio 0.46 0.55
Calmar Ratio 0.26 0.34
Ulcer Index 15.00 14.98
Max Drawdown 38.26% 35.22%
VaR (99% Confidence) $-4,640 $-4,679
VaR (99.9% Confidence) $-6,163 $-6,216
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

10.78

Skew

-0.72
Data Table
Factor Coefficients
Factor Portfolio Benchmark
High Beta (Low Beta) -0.1196 -0.1196
Market Factor 0.9598 0.9598
Size Factor 0.4522 0.4522
Style Factor 0.0586 0.0586

Adjusted R2

Portfolio 0.94
Benchmark 0.96

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution