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 11m 19d)

Returns (annualized)

Portfolio 8.92%
Benchmark 11.32%

Risk (annualized)

Portfolio 20.95%
Benchmark 19.84%

Sharpe (annualized)

Portfolio 0.45
Benchmark 0.57

Excess Return (annualized)

-2.40%

Tracking Error (annualized)

7.65%

Information Ratio

-0.31
Statistic Portfolio Benchmark
Downside Volatility 22.15% 21.06%
Sortino Ratio 0.43 0.54
Calmar Ratio 0.18 0.22
Ulcer Index 14.63 14.90
Max Drawdown 52.78% 51.49%
VaR (99% Confidence) $-4,874 $-4,614
VaR (99.9% Confidence) $-6,474 $-6,129
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 0.9605 0.9820 -0.0215
Style Factor -0.4250 0.0124 -0.4374
Size Factor 0.0458 -0.0571 0.1029
U.S. Tilt (Non U.S.) -0.0206 0.3999 -0.4205

Adjusted R2

Portfolio 0.94
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution