Deflationary Boom

Portfolio Specification

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Weights

Policy Report

Backtest Report

From to (17y 1m 13d)

Returns (annualized)

Portfolio 9.00%
Benchmark 11.20%

Risk (annualized)

Portfolio 21.25%
Benchmark 20.16%

Sharpe (annualized)

Portfolio 0.46
Benchmark 0.57

Excess Return (annualized)

-2.19%

Tracking Error (annualized)

7.76%

Information Ratio

-0.28
Statistic Portfolio Benchmark
Downside Volatility 22.42% 21.41%
Sortino Ratio 0.43 0.53
Calmar Ratio 0.18 0.22
Ulcer Index 14.58 14.86
Max Drawdown 52.78% 51.49%
VaR (99% Confidence) $-4,943 $-4,690
VaR (99.9% Confidence) $-6,567 $-6,230
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

21.09

Skew

-0.25
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.9609 0.9609
Style Factor -0.4328 -0.4328
Size Factor 0.0430 0.0430
U.S. Tilt (Non U.S.) -0.0165 -0.0165

Adjusted R2

Portfolio 0.94
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution