Equity Factor Portfolio

Portfolio Specification

Policy Report

Backtest Report

From to (7y 5m 16d)

Returns (annualized)

Portfolio 10.29%
Benchmark 12.76%

Risk (annualized)

Portfolio 20.05%
Benchmark 20.32%

Sharpe (annualized)

Portfolio 0.47
Benchmark 0.57

Excess Return (annualized)

-2.47%

Tracking Error (annualized)

6.59%

Information Ratio

-0.37
Statistic Portfolio Benchmark
Downside Volatility 21.22% 21.55%
Sortino Ratio 0.44 0.54
Calmar Ratio 0.24 0.33
Ulcer Index 15.00 15.00
Max Drawdown 38.26% 35.22%
VaR (99% Confidence) $-4,663 $-4,725
VaR (99.9% Confidence) $-6,194 $-6,277
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

10.85

Skew

-0.60
Data Table
Factor Coefficients
Factor Portfolio Benchmark
High Beta (Low Beta) -0.1050 -0.1050
Market Factor 0.9689 0.9689
Size Factor 0.4445 0.4445
Style Factor 0.0573 0.0573

Adjusted R2

Portfolio 0.94
Benchmark 0.96

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution