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 8m 8d)

Returns (annualized)

Portfolio 9.51%
Benchmark 11.80%

Risk (annualized)

Portfolio 21.02%
Benchmark 19.93%

Sharpe (annualized)

Portfolio 0.48
Benchmark 0.60

Excess Return (annualized)

-2.29%

Tracking Error (annualized)

7.67%

Information Ratio

-0.30
Statistic Portfolio Benchmark
Downside Volatility 22.21% 21.18%
Sortino Ratio 0.45 0.56
Calmar Ratio 0.19 0.23
Ulcer Index 14.62 14.89
Max Drawdown 52.78% 51.49%
VaR (99% Confidence) $-4,890 $-4,636
VaR (99.9% Confidence) $-6,496 $-6,159
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

21.36

Skew

-0.25
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.9604 0.9820 -0.0216
Style Factor -0.4269 0.0124 -0.4393
Size Factor 0.0453 -0.0574 0.1027
U.S. Tilt (Non U.S.) -0.0191 0.4004 -0.4196

Adjusted R2

Portfolio 0.94
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution