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 2m 1d)

Returns (annualized)

Portfolio 8.85%
Benchmark 10.65%

Risk (annualized)

Portfolio 20.24%
Benchmark 20.52%

Sharpe (annualized)

Portfolio 0.40
Benchmark 0.48

Excess Return (annualized)

-1.81%

Tracking Error (annualized)

6.63%

Information Ratio

-0.27
Statistic Portfolio Benchmark
Downside Volatility 21.44% 21.80%
Sortino Ratio 0.38 0.45
Calmar Ratio 0.21 0.28
Ulcer Index 14.99 14.98
Max Drawdown 38.26% 35.22%
VaR (99% Confidence) $-4,706 $-4,772
VaR (99.9% Confidence) $-6,252 $-6,339
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

10.82

Skew

-0.60
Data Table
Factor Coefficients
Factor Portfolio Benchmark
High Beta (Low Beta) -0.1076 -0.1076
Market Factor 0.9675 0.9675
Size Factor 0.4456 0.4456
Style Factor 0.0576 0.0576

Adjusted R2

Portfolio 0.94
Benchmark 0.96

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution