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)

Policy Report

Backtest Report

From to (17y 2m 26d)

Returns (annualized)

Portfolio 9.30%
Benchmark 11.43%

Risk (annualized)

Portfolio 21.21%
Benchmark 20.12%

Sharpe (annualized)

Portfolio 0.47
Benchmark 0.58

Excess Return (annualized)

-2.13%

Tracking Error (annualized)

7.74%

Information Ratio

-0.28
Statistic Portfolio Benchmark
Downside Volatility 22.37% 21.37%
Sortino Ratio 0.44 0.54
Calmar Ratio 0.19 0.23
Ulcer Index 14.59 14.87
Max Drawdown 52.78% 51.49%
VaR (99% Confidence) $-4,932 $-4,679
VaR (99.9% Confidence) $-6,552 $-6,216
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

21.14

Skew

-0.25
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.9610 0.9610
Style Factor -0.4322 -0.4322
Size Factor 0.0430 0.0430
U.S. Tilt (Non U.S.) -0.0166 -0.0166

Adjusted R2

Portfolio 0.94
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution