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 (7y 4d)

Returns (annualized)

Portfolio 11.18%
Benchmark 13.31%

Risk (annualized)

Portfolio 19.79%
Benchmark 19.98%

Sharpe (annualized)

Portfolio 0.52
Benchmark 0.61

Excess Return (annualized)

-2.13%

Tracking Error (annualized)

6.63%

Information Ratio

-0.32
Statistic Portfolio Benchmark
Downside Volatility 21.04% 21.30%
Sortino Ratio 0.48 0.57
Calmar Ratio 0.27 0.34
Ulcer Index 15.01 15.00
Max Drawdown 38.26% 35.22%
VaR (99% Confidence) $-4,603 $-4,646
VaR (99.9% Confidence) $-6,114 $-6,172
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

10.91

Skew

-0.72
Data Table
Factor Coefficients
Factor Portfolio Benchmark
High Beta (Low Beta) -0.1189 -0.1189
Market Factor 0.9597 0.9597
Size Factor 0.4507 0.4507
Style Factor 0.0596 0.0596

Adjusted R2

Portfolio 0.94
Benchmark 0.96

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution