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 7m 28d)

Returns (annualized)

Portfolio 9.02%
Benchmark 11.64%

Risk (annualized)

Portfolio 21.12%
Benchmark 19.96%

Sharpe (annualized)

Portfolio 0.46
Benchmark 0.60

Excess Return (annualized)

-2.62%

Tracking Error (annualized)

7.78%

Information Ratio

-0.34
Statistic Portfolio Benchmark
Downside Volatility 22.33% 21.25%
Sortino Ratio 0.44 0.56
Calmar Ratio 0.18 0.23
Ulcer Index 14.56 14.86
Max Drawdown 52.78% 51.49%
VaR (99% Confidence) $-4,912 $-4,642
VaR (99.9% Confidence) $-6,526 $-6,167
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

21.46

Skew

-0.32
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.9635 0.9635
Style Factor -0.4439 -0.4439
Size Factor 0.0436 0.0436
U.S. Tilt (Non U.S.) -0.0072 -0.0072

Adjusted R2

Portfolio 0.94
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution