international

Portfolio Specification

Assets

Progressive Corp (PGR)
RLI Corp (RLI)
W.R. Berkley Corp (WRB)
Arch Capital Group Ltd (ACGL)
RenaissanceRe Holdings Ltd (RNR)
Chubb Ltd (CB)
Brown & Brown Inc (BRO)
Aon plc. - Class A (AON)
Arthur J. Gallagher & Company (AJG)
Waste Management Inc (WM)
Waste Connections Inc (WCN)
Republic Services Inc (RSG)
Autozone Inc (AZO)
O`Reilly Automotive Inc (ORLY)

Policy

Rebalancing Interval Annually
Weights Algorithm Equal Weights

Benchmark

VANGUARD 500 INDEX FUND INVESTOR SHARES (VFINX)

This portfolio is listed on the Community Portfolios page.

Policy Report

Backtest Report

From to (14y 9m)

Returns (annualized)

Portfolio 17.44%
Benchmark 13.73%

Risk (annualized)

Portfolio 16.03%
Benchmark 17.36%

Sharpe (annualized)

Portfolio 0.99
Benchmark 0.74

Excess Return (annualized)

3.71%

Tracking Error (annualized)

11.54%

Information Ratio

0.32
Statistic Portfolio Benchmark
Downside Volatility 16.86% 18.41%
Sortino Ratio 0.94 0.70
Calmar Ratio 0.46 0.38
Ulcer Index 15.43 15.28
Max Drawdown 34.54% 33.81%
VaR (99% Confidence) $-3,728 $-4,037
VaR (99.9% Confidence) $-4,953 $-5,363
Beta to Benchmark 0.71 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

14.02

Skew

-0.53
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor 0.0579 0.0445 0.0134
Duration Factor -0.1953 -0.0892 -0.1062
High Beta (Low Beta) -0.4822 -0.0790 -0.4032
Inflation Factor -0.0837 -0.0554 -0.0284
Market Factor 0.6611 0.9160 -0.2548
Risk Free 0.6112 -0.0209 0.6321
Size Factor 0.1229 0.0082 0.1146
Style Factor 0.2615 -0.1117 0.3733
Vol Factor -0.0163 -0.0158 -0.0005
Vol Term Structure -0.0398 -0.0188 -0.0210
Yield Curve Factor 0.0028 0.0036 -0.0008

Adjusted R2

Portfolio 0.72
Benchmark 0.95

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution