Deflationary Boom

Portfolio Specification

Assets

iShares Russell 1000 Growth ETF (IWF)
ISHARES MSCI EAFE GROWTH ETF (EFG)

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (17y 9m 8d)

Returns (annualized)

Portfolio 9.63%
Benchmark 11.86%

Risk (annualized)

Portfolio 20.99%
Benchmark 19.90%

Sharpe (annualized)

Portfolio 0.48
Benchmark 0.60

Excess Return (annualized)

-2.23%

Tracking Error (annualized)

7.66%

Information Ratio

-0.29
Statistic Portfolio Benchmark
Downside Volatility 22.18% 21.14%
Sortino Ratio 0.46 0.56
Calmar Ratio 0.19 0.23
Ulcer Index 14.62 14.90
Max Drawdown 52.78% 51.49%
VaR (99% Confidence) $-4,882 $-4,628
VaR (99.9% Confidence) $-6,485 $-6,148
Beta to Benchmark 0.98 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

21.41

Skew

-0.25
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.9605 0.9820 -0.0215
Style Factor -0.4260 0.0125 -0.4385
Size Factor 0.0456 -0.0574 0.1030
U.S. Tilt (Non U.S.) -0.0194 0.4004 -0.4198

Adjusted R2

Portfolio 0.94
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution