Equity Factor Portfolio

Portfolio Specification

Policy Report

Backtest Report

From to (7y 7m 23d)

Returns (annualized)

Portfolio 11.11%
Benchmark 13.61%

Risk (annualized)

Portfolio 19.87%
Benchmark 20.11%

Sharpe (annualized)

Portfolio 0.50
Benchmark 0.61

Excess Return (annualized)

-2.50%

Tracking Error (annualized)

6.57%

Information Ratio

-0.38
Statistic Portfolio Benchmark
Downside Volatility 20.97% 21.31%
Sortino Ratio 0.48 0.58
Calmar Ratio 0.26 0.35
Ulcer Index 15.02 15.02
Max Drawdown 38.26% 35.22%
VaR (99% Confidence) $-4,622 $-4,677
VaR (99.9% Confidence) $-6,139 $-6,213
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

11.00

Skew

-0.60
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
High Beta (Low Beta) -0.1049 -0.0673 -0.0377
Market Factor 0.9686 1.0428 -0.0742
Size Factor 0.4433 0.0794 0.3639
Style Factor 0.0583 -0.0884 0.1467

Adjusted R2

Portfolio 0.94
Benchmark 0.96

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution