Services

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Weights
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (7y 10m 8d)

Returns (annualized)

Portfolio 10.22%
Benchmark 14.39%

Risk (annualized)

Portfolio 48.02%
Benchmark 18.29%

Sharpe (annualized)

Portfolio 0.40
Benchmark 0.72

Excess Return (annualized)

-4.17%

Tracking Error (annualized)

43.57%

Risk Free Rate (annualized)

1.90%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.53

Skew

0.00
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.9602 0.9602
Style Factor -0.5955 -0.5955
Size Factor 0.8167 0.8167
U.S. Tilt (Non U.S.) 0.1780 0.1780

Adjusted R2

Portfolio 0.22
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution