Deflationary Boom

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Weights
Assets
iShares Russell 1000 Growth ETF (IWF)
ISHARES MSCI EAFE GROWTH ETF (EFG)
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (16y 11m 5d)

Returns (annualized)

Portfolio 8.86%
Benchmark 11.14%

Risk (annualized)

Portfolio 21.05%
Benchmark 19.89%

Sharpe (annualized)

Portfolio 0.45
Benchmark 0.57

Excess Return (annualized)

-2.28%

Tracking Error (annualized)

7.76%

Information Ratio

-0.29
Statistic Portfolio Benchmark
Downside Volatility 22.26% 21.18%
Sortino Ratio 0.43 0.54
Calmar Ratio 0.18 0.22
Ulcer Index 14.58 14.87
Max Drawdown 52.78% 51.49%
VaR (99% Confidence) $-4,896 $-4,626
VaR (99.9% Confidence) $-6,504 $-6,145
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

21.43

Skew

-0.32
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.9625 0.9625
Style Factor -0.4372 -0.4372
Size Factor 0.0433 0.0433
U.S. Tilt (Non U.S.) -0.0106 -0.0106

Adjusted R2

Portfolio 0.94
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution