Equity Factor Portfolio

Portfolio Specification

Policy Report

Backtest Report

From to (7y 6m 12d)

Returns (annualized)

Portfolio 11.09%
Benchmark 13.31%

Risk (annualized)

Portfolio 19.99%
Benchmark 20.25%

Sharpe (annualized)

Portfolio 0.50
Benchmark 0.60

Excess Return (annualized)

-2.22%

Tracking Error (annualized)

6.58%

Information Ratio

-0.34
Statistic Portfolio Benchmark
Downside Volatility 21.13% 21.43%
Sortino Ratio 0.47 0.56
Calmar Ratio 0.26 0.34
Ulcer Index 15.00 15.01
Max Drawdown 38.26% 35.22%
VaR (99% Confidence) $-4,650 $-4,708
VaR (99.9% Confidence) $-6,177 $-6,255
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

10.87

Skew

-0.60
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
High Beta (Low Beta) -0.1043 -0.0673 -0.0370
Market Factor 0.9687 1.0430 -0.0742
Size Factor 0.4431 0.0800 0.3632
Style Factor 0.0576 -0.0885 0.1461

Adjusted R2

Portfolio 0.94
Benchmark 0.96

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution