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 (18y 1m 7d)

Returns (annualized)

Portfolio 9.66%
Benchmark 12.03%

Risk (annualized)

Portfolio 20.97%
Benchmark 19.81%

Sharpe (annualized)

Portfolio 0.48
Benchmark 0.61

Excess Return (annualized)

-2.37%

Tracking Error (annualized)

7.66%

Information Ratio

-0.31
Statistic Portfolio Benchmark
Downside Volatility 22.12% 21.02%
Sortino Ratio 0.46 0.57
Calmar Ratio 0.19 0.23
Ulcer Index 14.64 14.91
Max Drawdown 52.78% 51.49%
VaR (99% Confidence) $-4,877 $-4,608
VaR (99.9% Confidence) $-6,478 $-6,121
Beta to Benchmark 0.99 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

21.12

Skew

-0.24
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.9608 0.9821 -0.0213
Style Factor -0.4237 0.0120 -0.4357
Size Factor 0.0463 -0.0571 0.1035
U.S. Tilt (Non U.S.) -0.0224 0.3996 -0.4220

Adjusted R2

Portfolio 0.94
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution