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 6m 20d)

Returns (annualized)

Portfolio 9.62%
Benchmark 11.78%

Risk (annualized)

Portfolio 21.07%
Benchmark 19.98%

Sharpe (annualized)

Portfolio 0.48
Benchmark 0.59

Excess Return (annualized)

-2.17%

Tracking Error (annualized)

7.70%

Information Ratio

-0.28
Statistic Portfolio Benchmark
Downside Volatility 22.24% 21.21%
Sortino Ratio 0.46 0.56
Calmar Ratio 0.19 0.23
Ulcer Index 14.61 14.89
Max Drawdown 52.78% 51.49%
VaR (99% Confidence) $-4,901 $-4,647
VaR (99.9% Confidence) $-6,510 $-6,173
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

21.33

Skew

-0.25
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.9607 0.9819 -0.0213
Style Factor -0.4294 0.0125 -0.4419
Size Factor 0.0447 -0.0574 0.1022
U.S. Tilt (Non U.S.) -0.0187 0.4005 -0.4192

Adjusted R2

Portfolio 0.94
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution