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 (18y 1m 28d)

Returns (annualized)

Portfolio 9.76%
Benchmark 12.15%

Risk (annualized)

Portfolio 20.95%
Benchmark 19.79%

Sharpe (annualized)

Portfolio 0.49
Benchmark 0.61

Excess Return (annualized)

-2.39%

Tracking Error (annualized)

7.65%

Information Ratio

-0.31
Statistic Portfolio Benchmark
Downside Volatility 22.10% 21.00%
Sortino Ratio 0.46 0.58
Calmar Ratio 0.19 0.23
Ulcer Index 14.64 14.91
Max Drawdown 52.78% 51.49%
VaR (99% Confidence) $-4,872 $-4,602
VaR (99.9% Confidence) $-6,472 $-6,113
Beta to Benchmark 0.99 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

21.14

Skew

-0.24
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.9607 0.9821 -0.0214
Style Factor -0.4234 0.0120 -0.4354
Size Factor 0.0463 -0.0569 0.1033
U.S. Tilt (Non U.S.) -0.0226 0.3994 -0.4220

Adjusted R2

Portfolio 0.94
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution