Deflationary Boom

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Weights
Assets
iShares Russell 1000 Growth ETF (IWF)
ISHARES MSCI EAFE GROWTH ETF (EFG)
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (16y 9m 2d)

Returns (annualized)

Portfolio 8.94%
Benchmark 11.47%

Risk (annualized)

Portfolio 21.09%
Benchmark 19.93%

Sharpe (annualized)

Portfolio 0.46
Benchmark 0.59

Excess Return (annualized)

-2.53%

Tracking Error (annualized)

7.77%

Information Ratio

-0.33
Statistic Portfolio Benchmark
Downside Volatility 22.30% 21.22%
Sortino Ratio 0.43 0.55
Calmar Ratio 0.18 0.23
Ulcer Index 14.57 14.86
Max Drawdown 52.78% 51.49%
VaR (99% Confidence) $-4,906 $-4,636
VaR (99.9% Confidence) $-6,517 $-6,159
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

21.46

Skew

-0.32
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.9632 0.9632
Style Factor -0.4429 -0.4429
Size Factor 0.0438 0.0438
U.S. Tilt (Non U.S.) -0.0080 -0.0080

Adjusted R2

Portfolio 0.94
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution