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 5m 15d)

Returns (annualized)

Portfolio 9.53%
Benchmark 11.73%

Risk (annualized)

Portfolio 21.11%
Benchmark 20.02%

Sharpe (annualized)

Portfolio 0.48
Benchmark 0.59

Excess Return (annualized)

-2.20%

Tracking Error (annualized)

7.71%

Information Ratio

-0.28
Statistic Portfolio Benchmark
Downside Volatility 22.26% 21.25%
Sortino Ratio 0.45 0.56
Calmar Ratio 0.19 0.23
Ulcer Index 14.60 14.88
Max Drawdown 52.78% 51.49%
VaR (99% Confidence) $-4,910 $-4,656
VaR (99.9% Confidence) $-6,522 $-6,184
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

21.29

Skew

-0.25
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.9609 0.9819 -0.0210
Style Factor -0.4304 0.0125 -0.4429
Size Factor 0.0443 -0.0576 0.1019
U.S. Tilt (Non U.S.) -0.0181 0.4007 -0.4188

Adjusted R2

Portfolio 0.94
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution