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 (4m 16d)

Returns

Portfolio 7.95%
Benchmark 9.68%

Risk (annualized)

Portfolio 12.77%
Benchmark 11.32%

Sharpe (annualized)

Portfolio 1.33
Benchmark 1.85

Excess Return

-1.73%

Tracking Error (annualized)

3.87%

Information Ratio

-1.33
Statistic Portfolio Benchmark
Downside Volatility 15.28% 12.28%
Sortino Ratio 1.11 1.70
Calmar Ratio 2.47 4.12
Ulcer Index 15.64 15.74
Max Drawdown 6.86% 5.07%
VaR (99% Confidence) $-2,956 $-2,619
VaR (99.9% Confidence) $-3,926 $-3,479
Beta to Benchmark 1.08 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

0.82

Skew

-0.78
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.0364 0.9982 0.0382
Style Factor -0.1988 0.0107 -0.2096
Size Factor 0.0370 -0.0479 0.0849
U.S. Tilt (Non U.S.) -0.1674 0.3525 -0.5199

Adjusted R2

Portfolio 0.97
Benchmark 1.00

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution