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 (17y 16d)

Returns (annualized)

Portfolio 8.32%
Benchmark 10.53%

Risk (annualized)

Portfolio 21.26%
Benchmark 20.15%

Sharpe (annualized)

Portfolio 0.43
Benchmark 0.54

Excess Return (annualized)

-2.21%

Tracking Error (annualized)

7.77%

Information Ratio

-0.28
Statistic Portfolio Benchmark
Downside Volatility 22.43% 21.42%
Sortino Ratio 0.40 0.51
Calmar Ratio 0.17 0.21
Ulcer Index 14.58 14.86
Max Drawdown 52.78% 51.49%
VaR (99% Confidence) $-4,945 $-4,688
VaR (99.9% Confidence) $-6,569 $-6,227
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

21.15

Skew

-0.25
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.9614 0.9614
Style Factor -0.4345 -0.4345
Size Factor 0.0428 0.0428
U.S. Tilt (Non U.S.) -0.0147 -0.0147

Adjusted R2

Portfolio 0.94
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution