Equity Factor Portfolio

Portfolio Specification

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