Equity Factor Portfolio

Portfolio Specification

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)

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Weights

Benchmark

iShares Russell 3000 ETF (IWV)

This portfolio is listed on the Community Portfolios page.

Policy Report

Backtest Report

From to (7y 8m 5d)

Returns (annualized)

Portfolio 11.18%
Benchmark 13.56%

Risk (annualized)

Portfolio 19.88%
Benchmark 20.11%

Sharpe (annualized)

Portfolio 0.51
Benchmark 0.61

Excess Return (annualized)

-2.38%

Tracking Error (annualized)

6.58%

Information Ratio

-0.36
Statistic Portfolio Benchmark
Downside Volatility 21.01% 21.33%
Sortino Ratio 0.48 0.57
Calmar Ratio 0.26 0.35
Ulcer Index 15.02 15.02
Max Drawdown 38.26% 35.22%
VaR (99% Confidence) $-4,623 $-4,676
VaR (99.9% Confidence) $-6,141 $-6,212
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

10.94

Skew

-0.60
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
High Beta (Low Beta) -0.1055 -0.0676 -0.0380
Market Factor 0.9686 1.0427 -0.0741
Size Factor 0.4431 0.0795 0.3636
Style Factor 0.0588 -0.0884 0.1471

Adjusted R2

Portfolio 0.94
Benchmark 0.96

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution