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 11m 5d)

Returns (annualized)

Portfolio 9.25%
Benchmark 11.56%

Risk (annualized)

Portfolio 20.95%
Benchmark 19.85%

Sharpe (annualized)

Portfolio 0.46
Benchmark 0.58

Excess Return (annualized)

-2.31%

Tracking Error (annualized)

7.65%

Information Ratio

-0.30
Statistic Portfolio Benchmark
Downside Volatility 22.15% 21.07%
Sortino Ratio 0.44 0.55
Calmar Ratio 0.18 0.23
Ulcer Index 14.63 14.90
Max Drawdown 52.78% 51.49%
VaR (99% Confidence) $-4,874 $-4,616
VaR (99.9% Confidence) $-6,474 $-6,132
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

21.38

Skew

-0.25
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.9605 0.9820 -0.0214
Style Factor -0.4250 0.0125 -0.4375
Size Factor 0.0459 -0.0572 0.1031
U.S. Tilt (Non U.S.) -0.0205 0.4001 -0.4207

Adjusted R2

Portfolio 0.94
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution